Related papers: BFTS: Thompson Sampling with Bayesian Additive Reg…
There is a dearth of robust methods to estimate the causal effects of multiple treatments when the outcome is binary. This paper uses two unique sets of simulations to propose and evaluate the use of Bayesian Additive Regression Trees…
In the stochastic bandit problem, the goal is to maximize an unknown function via a sequence of noisy evaluations. Typically, the observation noise is assumed to be independent of the evaluation point and to satisfy a tail bound uniformly…
Dynamic decision-making under model uncertainty is central to many economic environments, yet existing bandit and reinforcement learning algorithms rely on the assumption of correct model specification. This paper studies the behavior and…
Most contextual bandit algorithms minimize regret against the best fixed policy, a questionable benchmark for non-stationary environments that are ubiquitous in applications. In this work, we develop several efficient contextual bandit…
Contextual bandits are incredibly useful in many practical problems. We go one step further by devising a more realistic problem that combines: (1) contextual bandits with dense arm features, (2) non-linear reward functions, and (3) a…
Thompson sampling (TS) is widely used in sequential decision making due to its ease of use and appealing empirical performance. However, many existing analytical and empirical results for TS rely on restrictive assumptions on reward…
We study the problem of online learning in contextual bandit problems where the loss function is assumed to belong to a known parametric function class. We propose a new analytic framework for this setting that bridges the Bayesian theory…
Thompson Sampling (TS) has attracted a lot of interest due to its good empirical performance, in particular in the computational advertising. Though successful, the tools for its performance analysis appeared only recently. In this paper,…
The Bayesian paradigm offers principled tools for sequential decision-making under uncertainty, but its reliance on a probabilistic model for all parameters can hinder the incorporation of complex structural constraints. We introduce a…
Bayes additive regression trees(BART) is a nonparametric regression model which has gained wide -spread popularity in recent years due to its flexibility and high accuracy of estimation .In spatio-temporal related model,the spatio or…
In this paper we consider the problem of online stochastic optimization of a locally smooth function under bandit feedback. We introduce the high-confidence tree (HCT) algorithm, a novel any-time $\mathcal{X}$-armed bandit algorithm, and…
The Bayesian Context Trees (BCT) framework is a recently introduced, general collection of statistical and algorithmic tools for modelling, analysis and inference with discrete-valued time series. The foundation of this development is built…
We study multi-armed bandit problems with graph feedback, in which the decision maker is allowed to observe the neighboring actions of the chosen action, in a setting where the graph may vary over time and is never fully revealed to the…
We describe a novel algorithm for noisy global optimisation and continuum-armed bandits, with good convergence properties over any continuous reward function having finitely many polynomial maxima. Over such functions, our algorithm…
In this paper, we study sequential decision-making for maximizing the Sharpe ratio (SR) in a stochastic multi-armed bandit (MAB) setting. Unlike standard bandit formulations that maximize cumulative reward, SR optimization requires…
Bandit optimization is a difficult problem, especially if the reward model is high-dimensional. When rewards are modeled by neural networks, sublinear regret has only been shown under strong assumptions, usually when the network is…
We study Thompson sampling (TS) in online decision making, where the uncertain environment is sampled from a mixture distribution. This is relevant in multi-task learning, where a learning agent faces different classes of problems. We…
Bayesian Additive Regression Trees (BART) are a powerful ensemble learning technique for modeling nonlinear regression functions. Although initially BART was proposed for predicting only continuous and binary response variables, over the…
Thompson sampling (TS) has been known for its outstanding empirical performance supported by theoretical guarantees across various reward models in the classical stochastic multi-armed bandit problems. Nonetheless, its optimality is often…
We present a method for incorporating missing data in non-parametric statistical learning without the need for imputation. We focus on a tree-based method, Bayesian Additive Regression Trees (BART), enhanced with "Missingness Incorporated…