Related papers: Multi-Armed Sequential Hypothesis Testing by Betti…
We consider a multi-hypothesis testing problem involving a K-armed bandit. Each arm's signal follows a distribution from a vector exponential family. The actual parameters of the arms are unknown to the decision maker. The decision maker…
We consider the best-arm identification problem in multi-armed bandits, which focuses purely on exploration. A player is given a fixed budget to explore a finite set of arms, and the rewards of each arm are drawn independently from a fixed,…
We study the problem of designing consistent sequential two-sample tests in a nonparametric setting. Guided by the principle of testing by betting, we reframe this task into that of selecting a sequence of payoff functions that maximize the…
We study the problems of sequential nonparametric two-sample and independence testing. Sequential tests process data online and allow using observed data to decide whether to stop and reject the null hypothesis or to collect more data,…
We consider a multi-armed bandit setting with finitely many arms, in which each arm yields an $M$-dimensional vector reward upon selection. We assume that the reward of each dimension (a.k.a. {\em objective}) is generated independently of…
The technique of ``testing by betting" frames nonparametric sequential hypothesis testing as a multiple-round game, where a player bets on future observations that arrive in a streaming fashion, accumulates wealth that quantifies evidence…
In a Monte-Carlo test, the observed dataset is fixed, and several resampled or permuted versions of the dataset are generated in order to test a null hypothesis that the original dataset is exchangeable with the resampled/permuted ones.…
We propose a novel nonparametric sequential test for composite hypotheses for means of multiple data streams. Our proposed method, \emph{peeking with expectation-based averaged capital} (PEAK), builds upon the testing-by-betting framework…
We consider a variant of the best arm identification task in stochastic multi-armed bandits. Motivated by risk-averse decision-making problems, our goal is to identify a set of $m$ arms with the highest $\tau$-quantile values within a fixed…
We consider a sequential decision-making problem where an agent can take one action at a time and each action has a stochastic temporal extent, i.e., a new action cannot be taken until the previous one is finished. Upon completion, the…
We consider the problem of sequential hypothesis testing by betting. For a general class of composite testing problems -- which include bounded mean testing, equal mean testing for bounded random tuples, and some key ingredients of…
This paper considers the problem of combinatorial multi-armed bandits with semi-bandit feedback and a cardinality constraint on the super-arm size. Existing algorithms for solving this problem typically involve two key sub-routines: (1) a…
We study pure exploration with infinitely many bandit arms generated i.i.d. from an unknown distribution. Our goal is to efficiently select a single high quality arm whose average reward is, with probability $1-\delta$, within $\varepsilon$…
In this paper, we study sequential testing problems with \emph{overlapping} hypotheses. We first focus on the simple problem of assessing if the mean $\mu$ of a Gaussian distribution is smaller or larger than a fixed $\epsilon>0$; if…
We study the infinite-horizon restless bandit problem with the average reward criterion, in both discrete-time and continuous-time settings. A fundamental goal is to efficiently compute policies that achieve a diminishing optimality gap as…
The problem of simultaneously testing the marginal distributions of sequentially monitored, independent data streams is considered. The decisions for the various testing problems can be made at different times, using data from all streams,…
We consider the problem of simultaneous detection and estimation under a sequential framework. In particular we are interested in sequential tests that distinguish between the null and the alternative hypothesis and every time the decision…
This paper characterizes the best possible rate of growth of wealth in a Kelly betting game when repeatedly betting against a general i.i.d. null hypothesis $\mathscr{P}$, but the data are drawn i.i.d from an arbitrary alternative $Q$. We…
Primarily motivated by the drug development process, several publications have now presented methodology for the design of multi-arm multi-stage experiments with normally distributed outcome variables of known variance. Here, we extend…
We propose a Bayesian Sequential procedure to test hypotheses concerning the Relative Risk between two specific treatments based on the binary data obtained from the two-arm clinical trial. Our development is based on the optimal sequential…