Related papers: Bayesian Online Model Selection
This paper establishes a connection between a category of discrete choice models and the realms of online learning and multiarmed bandit algorithms. Our contributions can be summarized in two key aspects. Firstly, we furnish sublinear…
We study a novel variant of online finite-horizon Markov Decision Processes with adversarially changing loss functions and initially unknown dynamics. In each episode, the learner suffers the loss accumulated along the trajectory realized…
The empirically successful Thompson Sampling algorithm for stochastic bandits has drawn much interest in understanding its theoretical properties. One important benefit of the algorithm is that it allows domain knowledge to be conveniently…
An individual's decisions are often guided by those of his or her peers, i.e., neighbors in a social network. Presumably, being privy to the experiences of others aids in learning and decision making, but how much advantage does an…
We consider combinatorial online learning with subset choices when only relative feedback information from subsets is available, instead of bandit or semi-bandit feedback which is absolute. Specifically, we study two regret minimisation…
Motivated by the strategic participation of electricity producers in electricity day-ahead market, we study the problem of online learning in repeated multi-unit uniform price auctions focusing on the adversarial opposing bid setting. The…
A major research direction in contextual bandits is to develop algorithms that are computationally efficient, yet support flexible, general-purpose function approximation. Algorithms based on modeling rewards have shown strong empirical…
Thompson Sampling is one of the oldest heuristics for multi-armed bandit problems. It is a randomized algorithm based on Bayesian ideas, and has recently generated significant interest after several studies demonstrated it to have better…
In this paper, we study differentially private online learning problems in a stochastic environment under both bandit and full information feedback. For differentially private stochastic bandits, we propose both UCB and Thompson…
Contextual bandits are widely used in Internet services from news recommendation to advertising, and to Web search. Generalized linear models (logistical regression in particular) have demonstrated stronger performance than linear models in…
Adapting to a priori unknown noise level is a very important but challenging problem in sequential decision-making as efficient exploration typically requires knowledge of the noise level, which is often loosely specified. We report…
We study the problem of meta-learning several contextual stochastic bandits tasks by leveraging their concentration around a low-dimensional affine subspace, which we learn via online principal component analysis to reduce the expected…
A search engine usually outputs a list of $K$ web pages. The user examines this list, from the first web page to the last, and chooses the first attractive page. This model of user behavior is known as the cascade model. In this paper, we…
Meta-, multi-task, and federated learning can be all viewed as solving similar tasks, drawn from a distribution that reflects task similarities. We provide a unified view of all these problems, as learning to act in a hierarchical Bayesian…
We investigate contextual bandits in the presence of side-observations across arms in order to design recommendation algorithms for users connected via social networks. Users in social networks respond to their friends' activity, and hence…
We investigate the extent to which offline demonstration data can improve online learning. It is natural to expect some improvement, but the question is how, and by how much? We show that the degree of improvement must depend on the quality…
Restless bandit problems are instances of non-stationary multi-armed bandits. These problems have been studied well from the optimization perspective, where the goal is to efficiently find a near-optimal policy when system parameters are…
We consider a resource-aware variant of the classical multi-armed bandit problem: In each round, the learner selects an arm and determines a resource limit. It then observes a corresponding (random) reward, provided the (random) amount of…
Recent works have shown a reduction from contextual bandits to online regression under a realizability assumption [Foster and Rakhlin, 2020, Foster and Krishnamurthy, 2021]. In this work, we investigate the use of neural networks for such…
We study two model selection settings in stochastic linear bandits (LB). In the first setting, which we refer to as feature selection, the expected reward of the LB problem is in the linear span of at least one of $M$ feature maps (models).…