相关论文: Measurable Monte Carlo Search Error Bounds

We consider stochastic multi-armed bandit problems with complex actions over a set of basic arms, where the decision maker plays a complex action rather than a basic arm in each round. The reward of the complex action is some function of…

Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases optimal (zero-variance) estimators are theoretically…

Drawing a sample from a discrete distribution is one of the building components for Monte Carlo methods. Like other sampling algorithms, discrete sampling suffers from the high computational burden in large-scale inference problems. We…

We propose a simple model selection approach for algorithms in stochastic bandit and reinforcement learning problems. As opposed to prior work that (implicitly) assumes knowledge of the optimal regret, we only require that each base…

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…

We present a new algorithm based on posterior sampling for learning in Constrained Markov Decision Processes (CMDP) in the infinite-horizon undiscounted setting. The algorithm achieves near-optimal regret bounds while being advantageous…

We study the multi-objective linear contextual bandit problem, where multiple possible conflicting objectives must be optimized simultaneously. We propose \texttt{MOL-TS}, the \textit{first} Thompson Sampling algorithm with Pareto regret…

Real-world distributed systems and networks are often unreliable and subject to random failures of its components. Such a stochastic behavior affects adversely the complexity of optimization tasks performed routinely upon such systems, in…

We study the fixed-budget max-min action identification problem in depth-2 max-min trees, an important special case of Monte Carlo Tree Search. A learner sequentially allocates $T$ samples to leaves and then recommends a subtree whose…

Thompson sampling for multi-armed bandit problems is known to enjoy favorable performance in both theory and practice. However, it suffers from a significant limitation computationally, arising from the need for samples from posterior…

Markov chain Monte Carlo is a method of producing a correlated sample in order to estimate features of a target distribution via ergodic averages. A fundamental question is when should sampling stop? That is, when are the ergodic averages…

The problem of multi-armed bandits (MAB) asks to make sequential decisions while balancing between exploitation and exploration, and have been successfully applied to a wide range of practical scenarios. Various algorithms have been…

Bayes-optimal behavior, while well-defined, is often difficult to achieve. Recent advances in the use of Monte-Carlo tree search (MCTS) have shown that it is possible to act near-optimally in Markov Decision Processes (MDPs) with very large…

We present simple and efficient algorithms for the batched stochastic multi-armed bandit and batched stochastic linear bandit problems. We prove bounds for their expected regrets that improve over the best-known regret bounds for any number…

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 analyze a tree search problem with an underlying Markov decision process, in which the goal is to identify the best action at the root that achieves the highest cumulative reward. We present a new tree policy that optimally allocates a…

Fast changing states or volatile environments pose a significant challenge to online optimization, which needs to perform rapid adaptation under limited observation. In this paper, we give query and regret optimal bandit algorithms under…

We prove finite sample complexities for sequential Monte Carlo (SMC) algorithms which require only local mixing times of the associated Markov kernels. Our bounds are particularly useful when the target distribution is multimodal and global…

Markov decision processes are useful models of concurrency optimisation problems, but are often intractable for exhaustive verification methods. Recent work has introduced lightweight approximative techniques that sample directly from…

This paper presents new \emph{variance-aware} confidence sets for linear bandits and linear mixture Markov Decision Processes (MDPs). With the new confidence sets, we obtain the follow regret bounds: For linear bandits, we obtain an…