arXiv Machine Learning

Annealed Entropic Allocation for Ranking and Selection

arXiv:2606. 11347v1 Announce Type: cross Abstract: We propose Annealed Entropic Allocation, an annealed weighted soft-min framework for sequential budget allocation in ranking and selection.

arXiv AI
Jul 23

Long-Term Sequential Decision Making under Risk

arXiv:2607. 19914v1 Announce Type: new Abstract: We study finite-horizon MDP planning under \emph{root-based} (resolute) risk objectives that apply a rank-dependent functional to the distribution of total returns.

By Irmaan (Mohammad), Mirzanejad, Nadjet Bourdache, Abdel-Illah Mouaddib
arXiv Machine Learning
Jul 21

Reinforcement Learning-Guided NSGA-II Enhanced with Gray Relational Coefficient for Multi-Objective Optimization: Application to NASDAQ Portfolio Optimization

arXiv:2607. 16194v1 Announce Type: new Abstract: In modern financial markets, decision-makers increasingly rely on quantitative methods to navigate complex trade-offs among multiple, often conflicting objectives.

By Zhiyuan Wang, Qinxu Ding, Ding Ding, Siying Zhu, Jing Ren, Yue Wang, Chong Hui Tan
arXiv Machine Learning
Jun 15

A Complexity Measure for Active Learning in Multi-group Mean Estimation

arXiv:2606. 14690v1 Announce Type: new Abstract: We study a \emph{max-risk} objective for active learning in a multi-group mean estimation $d$-armed bandits: a learner adaptively allocates a budget of $T$ samples across $d$ groups to minimize the worst-case uncertainty index $\max_{k\in[d]}\sigma_k^2/n_k$, where $\sigma_k$ is the standard deviation of the distribution of arm $d$, and $n_k$ is the number of times arm $d$ is sampled.

By Abdellah Aznag, Rachel Cummings, Adam N. Elmachtoub
arXiv Machine Learning
Aug 11

Kernel Methods for Refined Prophet Inequalities

arXiv:2608. 08662v1 Announce Type: cross Abstract: The single-selection prophet inequality is a canonical Bayesian online selection problem in which independent nonnegative values arrive sequentially and the decision-maker must irrevocably select at most one.

By Patrick Loiseau, Mathieu Molina, Vianney Perchet, Sebastian Perez-Salazar, Victor Verdugo
arXiv Machine Learning
Jun 9

Asymptotic Optimality of Thompson Sampling for Risk-Averse Bandits with Sub-Gaussian Rewards

arXiv:2606. 09191v1 Announce Type: new Abstract: We prove that $\rho\text{-}\mathrm{NPTS}_{\mathrm{SG}}$, an anchor-free nonparametric Thompson Sampling algorithm for risk-averse bandits, achieves regret matching the instance-dependent lower bound to leading order in $\log n$, establishing it as asymptotically optimal for any continuous risk functional $\rho$ (CVaR, mean-variance, Sharpe ratio, distortion risk measures, and more) on the class of distributions with bounded density and sub-Gaussian tails, including Gaussian arms.

By Joel Q. L. Chang