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Optimal regret bounds for Multi-Armed Bandit problems are now well documented. They can be classified into two categories based on the growth rate with respect to the time horizon $T$: (i) small, distribution-dependent, bounds of order of…

During online decision making in Multi-Armed Bandits (MAB), one needs to conduct inference on the true mean reward of each arm based on data collected so far at each step. However, since the arms are adaptively selected--thereby yielding…

Decision-making from offline datasets typically warm-starts a policy or score model from fixed offline data and then refines it with limited online interaction. Offline data reduces uncertainty, but it does not remove the need for…

We study the performance of the Thompson Sampling algorithm for logistic bandit problems. In this setting, an agent receives binary rewards with probabilities determined by a logistic function, $\exp(\beta \langle a, \theta…

This paper considers the distributed bandit convex optimization problem with time-varying constraints. In this problem, the global loss function is the average of all the local convex loss functions, which are unknown beforehand. Each agent…

We consider a special case of bandit problems, namely batched bandits. Motivated by natural restrictions of recommender systems and e-commerce platforms, we assume that a learning agent observes responses batched in groups over a certain…

In this paper we propose a general methodology to derive regret bounds for randomized multi-armed bandit algorithms. It consists in checking a set of sufficient conditions on the sampling probability of each arm and on the family of…

We give novel algorithms for multi-task and lifelong linear bandits with shared representation. Specifically, we consider the setting where we play $M$ linear bandits with dimension $d$, each for $T$ rounds, and these $M$ bandit tasks share…

Approachability has become a standard tool in analyzing earning algorithms in the adversarial online learning setup. We develop a variant of approachability for games where there is ambiguity in the obtained reward that belongs to a set,…

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 introduce efficient algorithms which achieve nearly optimal regrets for the problem of stochastic online shortest path routing with end-to-end feedback. The setting is a natural application of the combinatorial stochastic bandits…

This paper considers the distributed online bandit optimization problem with nonconvex loss functions over a time-varying digraph. This problem can be viewed as a repeated game between a group of online players and an adversary. At each…

Contextual multi-armed bandits are classical models in reinforcement learning for sequential decision-making associated with individual information. A widely-used policy for bandits is Thompson Sampling, where samples from a data-driven…

In the latent bandit problem, the learner has access to reward distributions and -- for the non-stationary variant -- transition models of the environment. The reward distributions are conditioned on the arm and unknown latent states. The…

We study finite-armed stochastic bandits where the rewards of each arm might be correlated to those of other arms. We introduce a novel phased algorithm that exploits the given structure to build confidence sets over the parameters of the…

We develop a general theory to optimize the frequentist regret for sequential learning problems, where efficient bandit and reinforcement learning algorithms can be derived from unified Bayesian principles. We propose a novel optimization…

The stochastic generalised linear bandit is a well-understood model for sequential decision-making problems, with many algorithms achieving near-optimal regret guarantees under immediate feedback. However, the stringent requirement for…

The primary goal of my Ph.D. study is to develop provably efficient and practical algorithms for data-driven sequential decision-making under uncertainty. My work focuses on reinforcement learning (RL), multi-armed bandits, and their…

In this paper, we study the problem of fair sequential decision making with biased linear bandit feedback. At each round, a player selects an action described by a covariate and by a sensitive attribute. The perceived reward is a linear…

Contextual bandits serve as a fundamental model for many sequential decision making tasks. The most popular theoretically justified approaches are based on the optimism principle. While these algorithms can be practical, they are known to…