Mengmeng Li

Optimism in the Face of Ambiguity Principle for Multi-Armed Bandits

  • Mengmeng Li
  • Daniel Kuhn
  • Bahar TaČ™kesen
    • Categories Convex Optimization, Data Science Algorithms, Data Science Applications Tags , ,

    Follow-The-Regularized-Leader (FTRL) algorithms often enjoy optimal regret for adversarial as well as stochastic bandit problems and allow for a streamlined analysis. However, FTRL algorithms require the solution of an optimization problem in every iteration and are thus computationally challenging. In contrast, Follow-The-Perturbed-Leader (FTPL) algorithms achieve computational efficiency by perturbing the estimates of the rewards of … Read more

    Distributionally Robust Optimization with Markovian Data

  • Daniel Kuhn
  • Tobias Sutter
  • Mengmeng Li
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    We study a stochastic program where the probability distribution of the uncertain problem parameters is unknown and only indirectly observed via finitely many correlated samples generated by an unknown Markov chain with d states. We propose a data-driven distributionally robust optimization model to estimate the problem’s objective function and optimal solution. By leveraging results from … Read more