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In this paper we consider the problem of learning the optimal policy for uncontrolled restless bandit problems. In an uncontrolled restless bandit problem, there is a finite set of arms, each of which when pulled yields a positive reward.…
Tree-form sequential decision making (TFSDM) extends classical one-shot decision making by modeling tree-form interactions between an agent and a potentially adversarial environment. It captures the online decision-making problems that each…
We consider Markov Decision Processes (MDPs) with deterministic transitions and study the problem of regret minimization, which is central to the analysis and design of optimal learning algorithms. We present logarithmic problem-specific…
We formulate a multi-armed bandit (MAB) approach to choosing expert policies online in Markov decision processes (MDPs). Given a set of expert policies trained on a state and action space, the goal is to maximize the cumulative reward of…
In order to make good decision under uncertainty an agent must learn from observations. To do so, two of the most common frameworks are Contextual Bandits and Markov Decision Processes (MDPs). In this paper, we study whether there exist…
A standard assumption in Reinforcement Learning is that the agent observes every visited state-action pair in the associated Markov Decision Process (MDP), along with the per-step rewards. Strong theoretical results are known in this…
We consider the problem of learning in single-player and multiplayer multiarmed bandit models. Bandit problems are classes of online learning problems that capture exploration versus exploitation tradeoffs. In a multiarmed bandit model,…
We study online learning in constrained Markov decision processes (CMDPs) with adversarial losses and stochastic hard constraints, under bandit feedback. We consider three scenarios. In the first one, we address general CMDPs, where we…
Policy regret is a well established notion of measuring the performance of an online learning algorithm against an adaptive adversary. We study restrictions on the adversary that enable efficient minimization of the \emph{complete policy…
The online Markov decision process (MDP) is a generalization of the classical Markov decision process that incorporates changing reward functions. In this paper, we propose practical online MDP algorithms with policy iteration and…
We consider the restless Markov bandit problem, in which the state of each arm evolves according to a Markov process independently of the learner's actions. We suggest an algorithm that after $T$ steps achieves $\tilde{O}(\sqrt{T})$ regret…
We consider an online learning problem where the learner interacts with a Markov decision process in a sequence of episodes, where the reward function is allowed to change between episodes in an adversarial manner and the learner only gets…
We study online learning of finite Markov decision process (MDP) problems when a side information vector is available. The problem is motivated by applications such as clinical trials, recommendation systems, etc. Such applications have an…
We consider online learning for minimizing regret in unknown, episodic Markov decision processes (MDPs) with continuous states and actions. We develop variants of the UCRL and posterior sampling algorithms that employ nonparametric Gaussian…
We consider online learning for episodic stochastically constrained Markov decision processes (CMDPs), which plays a central role in ensuring the safety of reinforcement learning. Here the loss function can vary arbitrarily across the…
We study the problem of online learning in a class of Markov decision processes known as linearly solvable MDPs. In the stationary version of this problem, a learner interacts with its environment by directly controlling the state…
In this paper, we consider the problem of optimization and learning for constrained and multi-objective Markov decision processes, for both discounted rewards and expected average rewards. We formulate the problems as zero-sum games where…
We consider multiple parallel Markov decision processes (MDPs) coupled by global constraints, where the time varying objective and constraint functions can only be observed after the decision is made. Special attention is given to how well…
For marketing, we sometimes need to recommend content for multiple pages in sequence. Different from general sequential decision making process, the use cases have a simpler flow where customers per seeing recommended content on each page…
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…