Xin Cui — Quant • HFT • ML

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A new algorithm THV-UCB reduces regret in multi-objective bandit problems.

problem Maintaining a small set of actions that jointly approximate the Pareto frontier in multi-objective slate selection.

method THV-UCB, an optimistic algorithm that selects arms based on optimistic estimates of their marginal hypervolume contributions.

result The algorithm achieves a gap-free regret bound of

ilde{O}(d\sqrt{nkT})

and a gap-dependent bound of

ilde{O}(nk^{2.5}/Δ_{\min})

arXiv research