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Efficient Optimal Learning for Contextual Bandits
Efficient Optimal Learning Contextual Bandits
2011/7/6
We address the problem of learning in an online setting where the learner repeatedly observes features, selects among a set of actions, and receives reward for the action taken.
Optimal Multistage Sampling in a Boundary-Crossing Problem
Asymptotic Brownian motion Group sequential Multistage Optimality
2011/6/17
Brownian motion with known positive drift is sampled in stages until
it crosses a positive boundary a. A family of multistage samplers that con-
trol the expected overshoot over the boundary by vary...
Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions
Noisy matrix decomposition via convex relaxation high dimensions
2011/3/24
We analyze a class of estimators based on convex relaxation for solving high-dimensional matrix decomposition problems. The observations are the noisy realizations of the sum of an (appproximately) lo...
Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
Absolutely continuous stochastic process mass transportation problem Salisburyfi problem
2009/4/29
We study the optimal control problem for Rd-valued absolutely continuous stochastic processes with given marginal distributions at every time. When $d=1$, we show the existence and the uniqueness of a...
Consider a two-person zero-sum game played on a random n by n matrix where the entries are iid normal random variables. Let Z be the number of rows in the support of the optimal strategy for player I ...
On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time
Levy processes optimal stopping problem Appell polynomials pasting principles
2009/4/24
Novikov and Shiryaev (2004) give explicit solutions to a class of optimal stopping problems for random walks based on other similar examples given in Darling et al. (1972). We give the analogue of the...