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.
We study the performance of the certainty equivalent controller on Linear Quadratic (LQ) control problems with unknown transition dynamics. We show that for both the fully and partially observed settings, the sub-optimality gap between the cost incurred by playing the certainty equivalent controller on the true system …
We consider the dynamic assortment optimization problem under the multinomial logit model (MNL) with unknown utility parameters. The main question investigated in this paper is model mis-specification under the ε-contamination model, which is a fundamental model in robust statistics and machine learning. In…
In this paper, we propose to combine imitation and reinforcement learning via the idea of reward shaping using an oracle. We study the effectiveness of the near-optimal cost-to-go oracle on the planning horizon and demonstrate that the cost-to-go oracle shortens the learner's planning horizon as function of its accurac…
We consider the problem of \textit{best arm identification} with a \textit{fixed budget T}, in the K-armed stochastic bandit setting, with arms distribution defined on [0,1]. We prove that any bandit strategy, for at least one bandit problem characterized by a complexity H, will misidentify the best arm with pr…
In many environments, only a relatively small subset of the complete state space is necessary in order to accomplish a given task. We develop a simple technique using emergency stops (e-stops) to exploit this phenomenon. Using e-stops significantly improves sample complexity by reducing the amount of required explorati…
Previous work on recommender systems mainly focus on fitting the ratings provided by users. However, the response patterns, i.e., some items are rated while others not, are generally ignored. We argue that failing to observe such response patterns can lead to biased parameter estimation and sub-optimal model performanc…
One of the key approaches to save samples in reinforcement learning (RL) is to use knowledge from an approximate model such as its simulator. However, how much does an approximate model help to learn a near-optimal policy of the true unknown model? Despite numerous empirical studies of transfer reinforcement learning, …
We consider effort allocation in crowdsourcing, where we wish to assign labeling tasks to imperfect homogeneous crowd workers to maximize overall accuracy in a continuous-time Bayesian setting, subject to budget and time constraints. The Bayes-optimal policy for this problem is the solution to a partially observable Ma…
We consider a finite-armed structured bandit problem in which mean rewards of different arms are known functions of a common hidden parameter θ∗. Since we do not place any restrictions of these functions, the problem setting subsumes several previously studied frameworks that assume linear or invertible reward funct…
Wide networks are often believed to have a nice optimization landscape, but what rigorous results can we prove? To understand the benefit of width, it is important to identify the difference between wide and narrow networks. In this work, we prove that from narrow to wide networks, there is a phase transition from havi…
Does over-parameterization eliminate sub-optimal local minima for neural networks? An affirmative answer was given by a classical result in [59] for 1-hidden-layer wide neural networks. A few recent works have extended the setting to multi-layer neural networks, but none of them has proved every local minimum is global…
We address reinforcement learning problems with finite state and action spaces where the underlying MDP has some known structure that could be potentially exploited to minimize the exploration rates of suboptimal (state, action) pairs. For any arbitrary structure, we derive problem-specific regret lower bounds satisfie…
Study minimax off-policy evaluation in multi-armed bandits with known and unknown behavior policies.
problem Evaluate policies in multi-armed bandits with unknown behavior policies.
method Develop minimax rate-optimal procedures for known and unknown behavior policies, including the Switch estimator and Chebyshev polynomial-based estimator.
result Plug-in estimator achieves optimal competitive ratio up to a logarithmic factor when behavior policy is unknown.
In autonomous vehicle (AV) control, allowing mistakes can be quite dangerous and costly in the real world. For this reason we investigate methods of training an AV without allowing the agent to explore and instead having a human explorer collect the data. Supervised learning has been explored for AV control, but it enc…