24 accepted papers
With the rapid progress of multi-agent large language model (LLM) reasoning, how to effectively aggregate answers from multiple LLMs has emerged as a fundamental challenge. Standard majority voting treats all answers equally, failing to consider latent heterogeneity and correlation across models. In…
Operations Research practitioners routinely debug infeasible models through an iterative process: analyzing Irreducible Infeasible Subsystems (\IIS{}), identifying constraint conflicts, and systematically repairing formulations until feasibility is achieved. Yet existing LLM benchmarks evaluate OR a…
Thompson Sampling (TS) has emerged as a powerful algorithm for sequential decision-making, with strong empirical success and theoretical guarantees. However, it has been shown that its behavior under stringent safety and robustness criteria --- such as safety of cumulative regret distribution and ro…
Contextual sequential decision-making is fundamental to machine learning, with applications in bandits, sequential hypothesis testing, and online risk control. These tasks often rely on statistical measures like expectation, variance, and quantiles. In this paper, we propose a universal algorithmic…
Dynamic pricing with resource constraints is a critical challenge in online learning, requiring a delicate balance between exploring unknown demand patterns and exploiting known information to maximize revenue. We propose three tailored algorithms to address this problem across varying levels of pri…
We study a dynamic pricing problem for third-party platform service fees under strategic, far-sighted customers. In each time period, the platform sets a service fee based on historical data, observes the resulting transaction quantities, and collects revenue. The platform also monitors equilibrium…
Motivated by the recent discovery of a statistical and computational reduction from contextual bandits to offline regression \citep{simchi2020bypassing}, we address the general (stochastic) Contextual Markov Decision Process (CMDP) problem with horizon $H$ (as known as CMDP with $H$ layers). In this…
Adaptive experiment is widely adopted to estimate conditional average treatment effect (CATE) in clinical trials and many other scenarios. While the primary goal in experiment is to maximize estimation accuracy, due to the imperative of social welfare, it's also crucial to provide treatment with sup…
Multi-armed bandit has been well-known for its efficiency in online decision-making in terms of minimizing the loss of the participants’ welfare during experiments (i.e., the regret). In clinical trials and many other scenarios, the statistical power of inferring the treatment effects (i.e., the gap…
Experimentation has been critical and increasingly popular across various domains, such as clinical trials and online platforms, due to its widely recognized benefits. One of the primary objectives of classical experiments is to estimate the average treatment effect (ATE) to inform future decision-…
When launching a new product, historical sales data is often not available, leaving price as a crucial experimental instrument for sellers to gauge market response. When designing pricing experiments, there are three fundamental objectives: estimating the causal effect of price (i.e., price elastici…
We consider the stochastic multi-armed bandit problem and fully characterize the interplays among three desired properties for policy design: worst-case optimality, instance-dependent consistency, and light-tailed risk. We show how the order of expected regret exactly affects the decaying rate of th…
We consider the classical multi-armed bandit problem and design simple-to-implement new policies that simultaneously enjoy two properties: worst-case optimality for the expected regret, and safety against heavy-tailed risk for the regret distribution. Recently, Fan and Glynn (2021) showed that infor…
In today’s data-rich environment, context-based dynamic pricing has gained much attention. To model the demand as a function of price and context, the existing literature either adopts a parametric model or a non-parametric model. The former is easier to implement but may suffer from model mis-spec…
A mixture of multinomial logits (MMNL) generalizes the single logit model, which is commonly used in predicting the probabilities of different outcomes. While extensive algorithms have been developed in the literature to learn MMNL models, theoretical results are limited. Built on the Frank-Wolfe (F…
We develop novel learning rates for conditional mean embeddings by applying the theory of interpolation for reproducing kernel Hilbert spaces (RKHS). We derive explicit, adaptive convergence rates for the sample estimator under the misspecifed setting, where the target operator is not Hilbert-Schmid…
Motivated by emerging applications such as live-streaming e-commerce, promotions and recommendations, we introduce a general class of multi-armed bandit problems that have the following two features: (i) the decision maker can pull and collect rewards from at most $K$ out of $N$ different arms in ea…
We consider model-free reinforcement learning (RL) in non-stationary Markov decision processes. Both the reward functions and the state transition functions are allowed to vary arbitrarily over time as long as their cumulative variations do not exceed certain variation budgets. We propose Restarted…
It is well-known that selling different goods in a single bundle can significantly increase revenue. However, bundling is no longer profitable if the goods have high production costs. To overcome this challenge, we introduce a new mechanism, Pure Bundling with Disposal for Cost (PBDC), where after b…
This paper investigates the impact of pre-existing offline data on online learning, in the context of dynamic pricing. We study a single-product dynamic pricing problem over a selling horizon of T periods. The demand in each period is determined by the price of the product according to a linear dema…
We consider un-discounted reinforcement learning (RL) in Markov decision processes (MDPs) under drifting non-stationarity, \ie, both the reward and state transition distributions are allowed to evolve over time, as long as their respective total variations, quantified by suitable metrics, do not exc…
We introduce algorithms that achieve state-of-the-art dynamic regret bounds for non-stationary linear stochastic bandit setting. It captures natural applications such as dynamic pricing and ads allocation in a changing environment. We show how the difficulty posed by the non-stationarity can be over…
We consider the classical stochastic multi-armed bandit problem with a constraint on the total cost incurred by switching between actions. Under the unit switching cost structure, where the constraint limits the total number of switches, we prove matching upper and lower bounds on regret and provide…
Classically, the time complexity of a first-order method is estimated by its number of gradient computations. In this paper, we study a more refined complexity by taking into account the ``lingering'' of gradients: once a gradient is computed at $x_k$, the additional time to compute gradients at $x_…