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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,051 papers · 148 categories

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285785113 · Jun 202019922001200920172026
48 results for Regret criterion

This paper considers portfolio construction in a dynamic setting. We specify a loss function comprised of utility and complexity components with an unknown tradeoff parameter. We develop a novel regret-based criterion for selecting the tradeoff parameter to construct optimal sparse portfolios over time.

2017-06-30abs ↗pdf ↗

Improved exploration in factored average-reward MDPs reduces regret.

problem Minimizing regret in unknown Factored Markov Decision Processes (FMDPs).
method DBN-UCRL strategy, inspired by UCRL2, uses Bernstein-type confidence sets for individual elements of the transition function.
result Achieves a regret bound with a leading term strictly improving over existing bounds.

The paper tackles risk-averse multi-armed bandit with linear payoffs.

problem Risk-averse contextual multi-armed bandit problem with linear payoffs.
method Apply Thompson Sampling algorithm for disjoint model and provide comprehensive regret analysis.
result Proved an O((1+ρ+1ρ)dlnTlnKδdKT1+2εlnKδ1ε)O((1+ρ+\frac{1}ρ) d\ln T \ln \frac{K}δ\sqrt{d K T^{1+2ε} \ln \frac{K}δ \frac{1}ε}) regret bound for mean-variance criterion.

Study non-rectangular robust MDPs for average-reward, finding optimal policies and transient values.

problem Non-rectangular robust Markov decision processes under average-reward criterion.
method Proves history-dependent policies are robust-optimal, introduces transient-value framework, constructs epoch-based policy.
result Existence and properties of robust optimal policies, transient value bounds.

Efficient batch optimization with deterministic regret bounds for frequentist kernel methods.

problem Efficient batch optimization for frequentist kernel methods.
method Proposes a novel batch optimization algorithm that jointly maximizes the acquisition function and selects points from a whole batch.
result Theoretical regret bounds for noise-free and perturbation settings are derived, and adversarial regret bounds decrease with a smaller covering radius.

The paper automates policy learning for nonlinear welfare criteria using machine learning and debiasing techniques.

problem Learning optimal policies from observational data with nonlinear welfare criteria.
method Modeling a nonlinear welfare criterion with a utility function, estimating propensity scores with machine learning, and using sieve approximations and cross-validation for model selection.
result The proposed policy learning method satisfies oracle inequalities, providing theoretical guarantees on performance.

New Thompson sampling algorithm reduces regret for exponential family bandits.

problem Minimizing regret in multi-armed bandit problems with exponential family rewards.
method Proposes ExpTS and ExpTS+^+ algorithms using novel sampling distributions.
result Minimizes both finite-time and asymptotic regret for exponential family rewards.

Algorithm minimizes regret in multi-criteria bandits with constraints.

problem Optimize primary attribute while respecting secondary constraints.
method Con-LCB algorithm that guarantees logarithmic regret and feasibility identification.
result Logarithmic regret and feasibility identification with high probability.

Online learning has traditionally focused on the expected rewards. In this paper, a risk-averse online learning problem under the performance measure of the mean-variance of the rewards is studied. Both the bandit and full information settings are considered. The performance of several existing policies is analyzed, an…

2018-07-24abs ↗pdf ↗

PopArt efficiently solves sparse linear bandits with tighter recovery guarantees.

problem Sparse linear bandits where rewards depend on a few covariates.
method PopArt: a simple, computationally efficient sparse linear estimation method.
result Improved regret bounds compared to state-of-the-art algorithms.

New robust bandit algorithm for clinical trials reduces sensitivity to outlier data.

problem Adaptive clinical trials need a robust bandit algorithm to handle outlier data.
method Proposes a new robustness criterion and modifies BESA algorithm for bandit problems.
result Empirical evaluation shows improved performance compared to standard bandit algorithms.

Optimal strategy identified for minimizing regret in fixed-budget best arm selection.

problem Minimizing expected simple regret in fixed-budget best arm selection.
method Two-Stage (TS)-Hirano-Imbens-Ridder (HIR) strategy using HIR estimator.
result TS-HIR strategy is asymptotically minimax optimal.

We consider a repeated newsvendor problem where the inventory manager has no prior information about the demand, and can access only censored/sales data. In analogy to multi-armed bandit problems, the manager needs to simultaneously "explore" and "exploit" with her inventory decisions, in order to minimize the cumulati…

2017-10-16abs ↗pdf ↗

New study reveals a polynomial penalty for adapting to unknown margin parameters in batched nonparametric bandits.

problem Adapting to an unknown margin parameter in batched nonparametric bandits.
method Introduces the regret inflation criterion and develops RoBIN algorithm to achieve optimal regret inflation.
result The optimal regret inflation grows polynomially with the horizon T, characterized by a convex optimization problem.

Develops model selection for bandits balancing adversarial and stochastic guarantees.

problem Model selection in bandit scenarios with simultaneous adversarial and stochastic high-probability regret.
method Nested policy classes, balanced candidate regret bounds, mis-specification tests.
result Best of both world guarantees in linear bandits with simultaneous adversarial and stochastic environments.

New active learning method for kernel selection improves efficiency and accuracy.

problem Real-world applications where acquiring true labels is costly or time-consuming.
method Active Multiple Kernel Learning (AMKL) with adaptive kernel selection (AMKL-AKS).
result AMKL-AKS achieves optimal sublinear regret and better performance with fewer labeled data.

New algorithm reduces dynamic regret in non-stationary dueling bandits using a weighted Borda score.

problem Designing algorithms with low dynamic regret in non-stationary dueling bandits.
method Introducing a novel weighted Borda score framework to analyze the Condorcet problem and establish improved bounds.
result First optimal and adaptive dynamic regret upper bound of ildeO(ildeL1/3K1/3T2/3) ilde{O}( ilde{L}^{1/3} K^{1/3} T^{2/3} ).

Improved batch-size independent regret bounds for nonlinear reward functions.

problem Nonlinear reward functions in combinatorial multi-armed bandit problems.
method Introducing Gini-weighted smoothness to account for both nonlinearity and concentration properties of arms.
result Achieved dramatic improvements in upper bounds for the probabilistic maximum coverage problem.

Novel method for efficient low-rank matrix estimation and bandit algorithms.

problem Low-rank matrix estimation and bandit problems.
method LowPopArt method for low-rank matrix estimation and novel experimental design criterion.
result Improved recovery guarantees and regret bounds for low-rank bandit algorithms.

Paper proposes an efficient bandit-based algorithm for hyperparameter optimization.

problem Efficiently evaluating hyperparameters in deep learning models with large search spaces.
method Sub-Sampling (SS) algorithm combined with Bayesian Optimization (BOSS).
result Theoretical proof of optimality and empirical validation of superior performance.

OSAMD adapts online to changing distributions with limited labels.

problem Models struggle with continual distribution shifts and expensive labeling in changing environments.
method Online Active Continual Adaptation with OSAMD, an online teacher-student structure and margin-based criterion.
result OSAMD achieves favorable dynamic regret bounds under changing environments with limited labels.

ACP-UCB1 ranks arms based on upper-tail performance, improving stochastic bandit algorithms.

problem Stochastic bandit algorithms often favor arms with strong upper-tail performance, which is not well-addressed by classical mean-reward criteria.
method ACP-UCB1 combines an adaptive conformal estimate of the upper endpoint with a UCB-type optimism bonus.
result ACP-UCB1 achieves logarithmic upper-quantile regret with per-arm contribution \(O( icefrac{\log n}{Δ_j^{\mathrm{ACP}}})\).

Bayesian optimization stops when a solution is within ε of the optimum with high probability.

problem Stopping Bayesian optimization prematurely based on a probabilistic criterion.
method Introducing a (ε,δ)(ε, δ)-criterion for stopping Bayesian optimization.
result Bayesian optimization satisfies the (ε,δ)(ε, δ)-criterion under mild assumptions.

UCRL3 improves UCRL2's efficiency in reinforcement learning by reducing exploration.

problem Long burn-in phases in numerical experiments of UCRL2.
method UCRL3 uses state-of-the-art time-uniform concentration inequalities and adaptive support computation to tighten exploration.
result UCRL3 achieves a better numerical improvement over UCRL2 in standard environments.

Entropy Search (ES) and Predictive Entropy Search (PES) are popular and empirically successful Bayesian Optimization techniques. Both rely on a compelling information-theoretic motivation, and maximize the information gained about the argmax\arg\max of the unknown function; yet, both are plagued by the expensive computatio…

2017-03-06abs ↗pdf ↗

Paper proposes algorithms to minimize both dynamic and adaptive regret simultaneously.

problem Traditional regret minimization algorithms are suboptimal for changing environments.
method Developed novel online algorithms to minimize dynamic and adaptive regret simultaneously.
result Proposed algorithms minimize dynamic and adaptive regret over any interval.

Autonomous systems can substantially enhance a human's efficiency and effectiveness in complex environments. Machines, however, are often unable to observe the preferences of the humans that they serve. Despite the fact that the human's and machine's objectives are aligned, asymmetric information, along with heterogene…

2017-05-26abs ↗pdf ↗

The paper analyzes the sliding regret of stochastic bandit algorithms.

problem Measuring the one-shot behavior of no-regret algorithms in stochastic bandits.
method Introducing sliding regret to measure the worst pseudo-regret over a time-window.
result Randomized methods have optimal sliding regret, while index policies have the worst possible sliding regret.

New algorithms optimize a soft-robust criterion in reinforcement learning, reducing conservatism.

problem Computing robust policies for high-stakes decisions with limited data.
method Soft-robust criterion using risk measures, two algorithms for optimization.
result Our algorithms produce less conservative solutions than existing methods.

This paper analyzes regret bounds for Gaussian process Thompson sampling.

problem Analyzing the performance of Gaussian process Thompson sampling (GP-TS) in Bayesian optimization.
method The paper derives several regret bounds for GP-TS, including a lower bound, upper bounds on the second moment of cumulative regret, expected lenient regret, and improved cumulative regret.
result The paper provides improved regret upper bounds for GP-TS, showing that it suffers from a polynomial dependence on 1/δ1/δ with probability δδ.

We introduce a new criterion to determine the order of an autoregressive model fitted to time series data. It has the benefits of the two well-known model selection techniques, the Akaike information criterion and the Bayesian information criterion. When the data is generated from a finite order autoregression, the Bay…

2015-08-11abs ↗pdf ↗

The notion of \emph{policy regret} in online learning is a well defined? performance measure for the common scenario of adaptive adversaries, which more traditional quantities such as external regret do not take into account. We revisit the notion of policy regret and first show that there are online learning settings …

2018-11-09abs ↗pdf ↗