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The Adversarial Markov Decision Process (AMDP) is a learning framework that deals with unknown and varying tasks in decision-making applications like robotics and recommendation systems. A major limitation of the AMDP formalism, however, is…
Methods for learning to search for structured prediction typically imitate a reference policy, with existing theoretical guarantees demonstrating low regret compared to that reference. This is unsatisfactory in many applications where the…
We develop a methodology for constructing confidence sets for parameters of statistical models via a reduction to sequential prediction. Our key observation is that for any generalized linear model (GLM), one can construct an associated…
We consider the problem of inferring an unknown ranking of $n$ items from a random tournament on $n$ vertices whose edge directions are correlated with the ranking. We establish, in terms of the strength of these correlations, the…
Sequential search models provide a powerful framework for studying consumer search using rich data that records the sequence of consumer actions taken during the search process. In existing empirical applications, their implementation often…
Online learning is a powerful tool for analyzing iterative algorithms. However, the classic adversarial setup sometimes fails to capture certain regularity in online problems in practice. Motivated by this, we establish a new setup, called…
Background Study individuals may face repeated events overtime. However, there is no consensus around learning approaches to use in a high-dimensional framework for survival data (when the number of variables exceeds the number of…
Multi-label ranking maps instances to a ranked set of predicted labels from multiple possible classes. The ranking approach for multi-label learning problems received attention for its success in multi-label classification, with one of 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…
No-regret learners seek to minimize the difference between the loss they cumulated through the actions they played, and the loss they would have cumulated in hindsight had they consistently modified their behavior according to some strategy…
In this work we provide provable regret guarantees for an online meta-learning control algorithm in an iterative control setting, where in each iteration the system to be controlled is a linear deterministic system that is different and…
Classifying sequential data as early and as accurately as possible is a challenging yet critical problem, especially when a sampling cost is high. One algorithm that achieves this goal is the sequential probability ratio test (SPRT), which…
In online classification, a learner is presented with a sequence of examples and aims to predict their labels in an online fashion so as to minimize the total number of mistakes. In the self-directed variant, the learner knows in advance…
We consider the setting of online logistic regression and consider the regret with respect to the 2-ball of radius B. It is known (see [Hazan et al., 2014]) that any proper algorithm which has logarithmic regret in the number of samples…
Certifiable, adaptive uncertainty estimates for unknown quantities are an essential ingredient of sequential decision-making algorithms. Standard approaches rely on problem-dependent concentration results and are limited to a specific…
We consider the online linear optimization problem, where at every step the algorithm plays a point $x_t$ in the unit ball, and suffers loss $\langle c_t, x_t\rangle$ for some cost vector $c_t$ that is then revealed to the algorithm. Recent…
In mechanism design it is typical to impose incentive compatibility and then derive an optimal mechanism subject to this constraint. By replacing the incentive compatibility requirement with the goal of minimizing expected ex post regret,…
In constrained Markov decision processes (CMDPs) with adversarial rewards and constraints, a well-known impossibility result prevents any algorithm from attaining both sublinear regret and sublinear constraint violation, when competing…
In this paper we propose a novel experimental design-based algorithm to minimize regret in online stochastic linear and combinatorial bandits. While existing literature tends to focus on optimism-based algorithms--which have been shown to…
We study contextual bandits in the presence of a stage-wise constraint when the constraint must be satisfied both with high probability and in expectation. We start with the linear case where both the reward function and the stage-wise…