相关论文: Thompson Sampling Guided Stochastic Searching on t…
We study the problem of regret minimization in a multi-armed bandit setup where the agent is allowed to play multiple arms at each round by spreading the resources usually allocated to only one arm. At each iteration the agent selects a…
The design and performance analysis of bandit algorithms in the presence of stage-wise safety or reliability constraints has recently garnered significant interest. In this work, we consider the linear stochastic bandit problem under…
The dueling bandits problem is an online learning framework for learning from pairwise preference feedback, and is particularly well-suited for modeling settings that elicit subjective or implicit human feedback. In this paper, we study the…
We study the real-valued combinatorial pure exploration of the multi-armed bandit (R-CPE-MAB) problem. In R-CPE-MAB, a player is given $d$ stochastic arms, and the reward of each arm $s\in\{1, \ldots, d\}$ follows an unknown distribution…
I study adversarial attacks against stochastic bandit algorithms. At each round, the learner chooses an arm, and a stochastic reward is generated. The adversary strategically adds corruption to the reward, and the learner is only able to…
Thompson Sampling has generated significant interest due to its better empirical performance than upper confidence bound based algorithms. In this paper, we study Thompson Sampling based algorithm for Unsupervised Sequential Selection (USS)…
The multi-armed bandit (MAB) problem is a classical learning task that exemplifies the exploration-exploitation tradeoff. However, standard formulations do not take into account {\em risk}. In online decision making systems, risk is a…
In a typical stochastic multi-armed bandit problem, the objective is often to maximize the expected sum of rewards over some time horizon $T$. While the choice of a strategy that accomplishes that is optimal with no additional information,…
As the cornerstone of modern portfolio theory, Markowitz's mean-variance optimization is considered a major model adopted in portfolio management. However, due to the difficulty of estimating its parameters, it cannot be applied to all…
We consider the problem of the best arm identification in the presence of stochastic constraints, where there is a finite number of arms associated with multiple performance measures. The goal is to identify the arm that optimizes the…
In the multiarmed bandit problem a gambler chooses an arm of a slot machine to pull considering a tradeoff between exploration and exploitation. We study the stochastic bandit problem where each arm has a reward distribution supported in a…
We consider a sequential subset selection problem under parameter uncertainty, where at each time step, the decision maker selects a subset of cardinality $K$ from $N$ possible items (arms), and observes a (bandit) feedback in the form of…
Thompson sampling (TS) is widely used for stochastic multi-armed bandits, yet its inferential properties under adaptive data collection are subtle. Classical asymptotic theory for sample means can fail because arm-specific sample sizes are…
We study the stochastic multi-armed bandit problem with non-equivalent multiple plays where, at each step, an agent chooses not only a set of arms, but also their order, which influences reward distribution. In several problem formulations…
We consider a multi-armed bandit setting in which each arm has a public and a private reward distribution. An observer expects an agent to follow Thompson Sampling according to the public rewards, however, the deceptive agent aims to…
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…
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…
We consider a novel stochastic multi-armed bandit setting, where playing an arm makes it unavailable for a fixed number of time slots thereafter. This models situations where reusing an arm too often is undesirable (e.g. making the same…
Multi-armed bandits (MAB) are extensively studied in various settings where the objective is to \textit{maximize} the actions' outcomes (i.e., rewards) over time. Since safety is crucial in many real-world problems, safe versions of MAB…
We consider a non-stationary formulation of the stochastic multi-armed bandit where the rewards are no longer assumed to be identically distributed. For the best-arm identification task, we introduce a version of Successive Elimination…