arXiv Statistics ML

Self-Balancing Sequential Sampling: Fast Convergence with Controlled Predictability

arXiv Machine Learning
Jun 19

Stabilizing Bandits using Regularization: Precise Regret and A Quantitative Central Limit Theorem

arXiv:2603. 10184v2 Announce Type: replace-cross Abstract: Statistical inference with bandit data presents fundamental challenges owing to adaptive sampling, which violates the independence assumptions underlying classical asymptotic theory.

By Budhaditya Halder, Ishan Sengupta, Koustav Chowdhury, Samya Praharaj, Koulik Khamaru
arXiv Machine Learning
Oct 2

Fast Regularized Policy Mirror Descent with One-Step TD Updates

The paper introduces Fast Regularized Policy Mirror Descent (PMD) that pairs policy updates with a single temporal-difference (TD) critic step. It proves global linear convergence for finite discounted MDPs using exact coordinate-wise Bellman updates and any positive actor stepsize, regardless of critic initialization. For stochastic TD-PMD with strongly convex mirror maps, the authors achieve an expected value gap of ε after “~O(1/((1-γ)^5 σ_b ε))” transitions, without requiring trajectory resets, generative models, or nested policy evaluation loops.

By Qipei Chen, Wenye Li, Yule Sun, Ke Wei
arXiv Machine Learning
Aug 28

Sequential Additivity in Distributionally Robust Ranking and Selection

The paper studies distributionally robust ranking and selection (DRR&S), where the goal is to identify the best alternative under input uncertainty by considering multiple plausible input distributions. It introduces the concept of sequential additivity, showing that efficient sampling should focus on a small, additive set of critical scenarios rather than a multiplicative number. The authors prove an algorithm‑independent lower bound on sampling, design an additive allocation (AA) procedure that meets this bound and achieves exponentially decreasing error probability, and extend the approach to a general additive allocation (GAA) framework that incorporates traditional R&S sampling rules.

By Zaile Li, Yuchen Wan, L. Jeff Hong