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.
Optimizing rewards under budget constraints with correlated costs and rewards.
problem Maximizing total expected reward under a budget constraint on total cost with correlated and potentially heavy-tailed cost-reward pairs.
method Proposes algorithms exploiting correlation between cost and reward via linear minimum mean-square error estimation to achieve tight regret bounds.
result Achieves O(logB) regret for a budget B>0 under certain moment conditions.
A major challenge in reinforcement learning is exploration, when local dithering methods such as epsilon-greedy sampling are insufficient to solve a given task. Many recent methods have proposed to intrinsically motivate an agent to seek novel states, driving the agent to discover improved reward. However, while state-…
The paper tackles statistical and computational challenges in learning correlated reward models.
problem The Independence of Irrelevant Alternatives (IIA) assumption collapses human preferences into a universal utility function, leading to coarse approximations.
method The paper investigates the statistical and computational challenges of learning a correlated probit model using best-of-three preference data.
result Best-of-three preference data overcomes the limitations of pairwise preference data, allowing for more fine-grained modeling of human preferences.
We consider a multi-armed bandit framework where the rewards obtained by pulling different arms are correlated. We develop a unified approach to leverage these reward correlations and present fundamental generalizations of classic bandit algorithms to the correlated setting. We present a unified proof technique to anal…
We consider the correlated multiarmed bandit (MAB) problem in which the rewards associated with each arm are modeled by a multivariate Gaussian random variable, and we investigate the influence of the assumptions in the Bayesian prior on the performance of the upper credible limit (UCL) algorithm and a new correlated U…
Reinforcement Learning (RL) agents require the specification of a reward signal for learning behaviours. However, introduction of corrupt or stochastic rewards can yield high variance in learning. Such corruption may be a direct result of goal misspecification, randomness in the reward signal, or correlation of the rew…
In this paper we consider the problem of online stochastic optimization of a locally smooth function under bandit feedback. We introduce the high-confidence tree (HCT) algorithm, a novel any-time X-armed bandit algorithm, and derive regret bounds matching the performance of existing state-of-the-art in term…
Reinforcement learning algorithms use correlations between policies and rewards to improve agent performance. But in dynamic or sparsely rewarding environments these correlations are often too small, or rewarding events are too infrequent to make learning feasible. Human education instead relies on curricula--the break…
Reinforcement learning agents are prone to undesired behaviors due to reward mis-specification. Finding a set of reward functions to properly guide agent behaviors is particularly challenging in multi-agent scenarios. Inverse reinforcement learning provides a framework to automatically acquire suitable reward functions…
We consider the problem of learning to play a repeated multi-agent game with an unknown reward function. Single player online learning algorithms attain strong regret bounds when provided with full information feedback, which unfortunately is unavailable in many real-world scenarios. Bandit feedback alone, i.e., observ…
Improved control approach for correlated bandits with better performance.
problem General multi-armed bandit problem with correlated elements.
method Introducing entropy regularisation to obtain a smooth asymptotic approximation of the value function, leading to a semi-index approximation of the optimal decision process.
result Performance of Asymptotic Randomised Control (ARC) algorithm compares favorably with other approaches.
This paper proposes an exploration method for deep reinforcement learning based on parameter space noise. Recent studies have experimentally shown that parameter space noise results in better exploration than the commonly used action space noise. Previous methods devised a way to update the diagonal covariance matrix o…
We consider a novel multi-armed bandit framework where the rewards obtained by pulling the arms are functions of a common latent random variable. The correlation between arms due to the common random source can be used to design a generalized upper-confidence-bound (UCB) algorithm that identifies certain arms as $non-c…
We tackle the Multi-task Batch Reinforcement Learning problem. Given multiple datasets collected from different tasks, we train a multi-task policy to perform well in unseen tasks sampled from the same distribution. The task identities of the unseen tasks are not provided. To perform well, the policy must infer the tas…