arXiv Machine Learning By Yunwen Guo, Yunlun Shu, Gongyi Zhuo, Tianyu Wang

Batched Bandits with Heavy-Tailed Rewards

Read the original on arXiv Machine Learning →

arXiv:2510. 03798v3 Announce Type: replace Abstract: The batched multi-armed bandit (MAB) problem, where rewards are collected in batches, is pivotal in applications like clinical trials.

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arXiv AI
Sep 24

Softmax gradient policy for variance minimization and risk-averse multi armed bandits

The paper introduces a new algorithm for the Multi‑Armed Bandit problem that prioritizes selecting the arm with the lowest variance rather than the highest expected reward, using a softmax policy parameterization. It constructs an unbiased estimate of the minimal‑variance objective by drawing two independent samples from the chosen arm and proves convergence under natural conditions. Numerical experiments demonstrate the algorithm’s practical behavior and provide implementation guidance, while also addressing general risk‑aware trade‑offs between average reward and variance.

By Gabriel Turinici
arXiv Machine Learning
Aug 18

Sequential Batch Learning in Finite-Action Linear Contextual Bandits

arXiv:2004. 06321v2 Announce Type: replace Abstract: We study the sequential batch learning problem in linear contextual bandits with finite action sets, where the decision maker is constrained to split incoming individuals into (at most) a fixed number of batches and can only observe outcomes for the individuals within a batch at the batch's end.

By Yanjun Han, Zhengqing Zhou, Zihao Hu, Jose Blanchet, Peter W. Glynn, Yinyu Ye, Zhengyuan Zhou