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A Tutorial On Thompson Sampling
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Book Synopsis A Tutorial on Thompson Sampling by : Daniel J. Russo
Download or read book A Tutorial on Thompson Sampling written by Daniel J. Russo and published by Now Publishers. This book was released on 2018-07-12 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thompson sampling is an algorithm for online decision problems where actions are taken sequentially in a manner that must balance between exploiting what is known to maximize immediate performance and investing to accumulate new information that may improve future performance. The algorithm addresses a broad range of problems in a computationally efficient manner and is therefore enjoying wide use. A Tutorial on Thompson Sampling covers the algorithm and its application, illustrating concepts through a range of examples, including Bernoulli bandit problems, shortest path problems, product recommendation, assortment, active learning with neural networks, and reinforcement learning in Markov decision processes. Most of these problems involve complex information structures, where information revealed by taking an action informs beliefs about other actions. It also discusses when and why Thompson sampling is or is not effective and relations to alternative algorithms.
Book Synopsis Thompson Sampling Beyond Classical Bandits by : Cem Kalkanli
Download or read book Thompson Sampling Beyond Classical Bandits written by Cem Kalkanli and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thompson sampling has been shown to be an effective policy for a variety of sequential decision making problems. Motivated by its state-of-the-art empirical performance and straightforward implementation, many recent works have focused on analyzing its theoretical performance. Despite this interest, however, many questions remain unanswered. Can Thompson sampling identify the best action among many others in a sequential decision making problem? What is the best performance guarantee we can provide for Thompson sampling in a Gaussian linear model? Can Thompson sampling still perform well even when it receives delayed feedback in the form of batches? These questions lie at the heart of many real life applications, and by answering them this thesis contributes towards a better understanding of the performance of Thompson sampling in more complex and realistic scenarios. We first study the exploration capabilities of Thompson sampling. While it is well known that Thompson sampling is an optimal algorithm which achieves sub-linear cumulative regret in the classical multi-armed bandits problem, whether or not Thompson sampling can identify the optimal action remains unknown. This is because a regret-optimal algorithm can potentially select a suboptimal arm infinitely often, hence failing to identify the optimal action. In this thesis, we show that Thompson sampling gradually determines the optimal arm with probability one whenever it achieves sub-linear regret, which is known to be the case in many classical bandits problems. Using this result, we introduce the first strongly consistent estimator for identifying the optimal action that uses only the actions selected by the Thompson sampling agent. Later we study the performance of Thompson sampling for Gaussian linear bandits. We improve the state-of-the-art regret bounds on the expected performance of Thompson sampling by an order of sqrt(log(T)) where T stands for the experiment duration. We achieve this result by introducing a novel Cauchy-Schwarz type inequality for random vectors. Finally we study the performance of Thompson sampling for the batched multi-armed bandits problem. Prior work has devised algorithms specialized for this batched setting that optimize the batch structure for a given time horizon T and prioritize exploration in the beginning of the experiment to eliminate suboptimal actions. It is not clear whether or not Thompson sampling, an algorithm that implicitly balances exploration and exploitation without knowing the time horizon, can perform well under batched feedback. In this thesis, we answer this question positively. We provide the first adversarial batching result in the literature by showing that Thompson sampling maintains its optimal performance even when the batch structure is chosen adversarially as long as it receives enough feedback. Additionally, we introduce two adaptive batching strategies tuned to a given target performance criteria: asymptotic or finite time performance. Both algorithms require only O(loglog(T)) number of batches to achieve optimal performance for a given problem instance, resulting in an exponentially smaller number of batches than previous algorithms. This opens the way to drastically parallelize the operation of Thompson sampling and reduce the number of times the agent needs to interact with the underlying system in many real-world applications.
Book Synopsis Algorithms for Decision Making by : Mykel J. Kochenderfer
Download or read book Algorithms for Decision Making written by Mykel J. Kochenderfer and published by MIT Press. This book was released on 2022-08-16 with total page 701 pages. Available in PDF, EPUB and Kindle. Book excerpt: A broad introduction to algorithms for decision making under uncertainty, introducing the underlying mathematical problem formulations and the algorithms for solving them. Automated decision-making systems or decision-support systems—used in applications that range from aircraft collision avoidance to breast cancer screening—must be designed to account for various sources of uncertainty while carefully balancing multiple objectives. This textbook provides a broad introduction to algorithms for decision making under uncertainty, covering the underlying mathematical problem formulations and the algorithms for solving them. The book first addresses the problem of reasoning about uncertainty and objectives in simple decisions at a single point in time, and then turns to sequential decision problems in stochastic environments where the outcomes of our actions are uncertain. It goes on to address model uncertainty, when we do not start with a known model and must learn how to act through interaction with the environment; state uncertainty, in which we do not know the current state of the environment due to imperfect perceptual information; and decision contexts involving multiple agents. The book focuses primarily on planning and reinforcement learning, although some of the techniques presented draw on elements of supervised learning and optimization. Algorithms are implemented in the Julia programming language. Figures, examples, and exercises convey the intuition behind the various approaches presented.
Book Synopsis Mastering Reinforcement Learning with Python by : Enes Bilgin
Download or read book Mastering Reinforcement Learning with Python written by Enes Bilgin and published by Packt Publishing Ltd. This book was released on 2020-12-18 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get hands-on experience in creating state-of-the-art reinforcement learning agents using TensorFlow and RLlib to solve complex real-world business and industry problems with the help of expert tips and best practices Key FeaturesUnderstand how large-scale state-of-the-art RL algorithms and approaches workApply RL to solve complex problems in marketing, robotics, supply chain, finance, cybersecurity, and moreExplore tips and best practices from experts that will enable you to overcome real-world RL challengesBook Description Reinforcement learning (RL) is a field of artificial intelligence (AI) used for creating self-learning autonomous agents. Building on a strong theoretical foundation, this book takes a practical approach and uses examples inspired by real-world industry problems to teach you about state-of-the-art RL. Starting with bandit problems, Markov decision processes, and dynamic programming, the book provides an in-depth review of the classical RL techniques, such as Monte Carlo methods and temporal-difference learning. After that, you will learn about deep Q-learning, policy gradient algorithms, actor-critic methods, model-based methods, and multi-agent reinforcement learning. Then, you'll be introduced to some of the key approaches behind the most successful RL implementations, such as domain randomization and curiosity-driven learning. As you advance, you’ll explore many novel algorithms with advanced implementations using modern Python libraries such as TensorFlow and Ray’s RLlib package. You’ll also find out how to implement RL in areas such as robotics, supply chain management, marketing, finance, smart cities, and cybersecurity while assessing the trade-offs between different approaches and avoiding common pitfalls. By the end of this book, you’ll have mastered how to train and deploy your own RL agents for solving RL problems. What you will learnModel and solve complex sequential decision-making problems using RLDevelop a solid understanding of how state-of-the-art RL methods workUse Python and TensorFlow to code RL algorithms from scratchParallelize and scale up your RL implementations using Ray's RLlib packageGet in-depth knowledge of a wide variety of RL topicsUnderstand the trade-offs between different RL approachesDiscover and address the challenges of implementing RL in the real worldWho this book is for This book is for expert machine learning practitioners and researchers looking to focus on hands-on reinforcement learning with Python by implementing advanced deep reinforcement learning concepts in real-world projects. Reinforcement learning experts who want to advance their knowledge to tackle large-scale and complex sequential decision-making problems will also find this book useful. Working knowledge of Python programming and deep learning along with prior experience in reinforcement learning is required.
Book Synopsis Reinforcement Learning Algorithms: Analysis and Applications by : Boris Belousov
Download or read book Reinforcement Learning Algorithms: Analysis and Applications written by Boris Belousov and published by Springer Nature. This book was released on 2021-01-02 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews research developments in diverse areas of reinforcement learning such as model-free actor-critic methods, model-based learning and control, information geometry of policy searches, reward design, and exploration in biology and the behavioral sciences. Special emphasis is placed on advanced ideas, algorithms, methods, and applications. The contributed papers gathered here grew out of a lecture course on reinforcement learning held by Prof. Jan Peters in the winter semester 2018/2019 at Technische Universität Darmstadt. The book is intended for reinforcement learning students and researchers with a firm grasp of linear algebra, statistics, and optimization. Nevertheless, all key concepts are introduced in each chapter, making the content self-contained and accessible to a broader audience.
Book Synopsis Reinforcement Learning by : Phil Winder Ph.D.
Download or read book Reinforcement Learning written by Phil Winder Ph.D. and published by "O'Reilly Media, Inc.". This book was released on 2020-11-06 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reinforcement learning (RL) will deliver one of the biggest breakthroughs in AI over the next decade, enabling algorithms to learn from their environment to achieve arbitrary goals. This exciting development avoids constraints found in traditional machine learning (ML) algorithms. This practical book shows data science and AI professionals how to learn by reinforcement and enable a machine to learn by itself. Author Phil Winder of Winder Research covers everything from basic building blocks to state-of-the-art practices. You'll explore the current state of RL, focus on industrial applications, learn numerous algorithms, and benefit from dedicated chapters on deploying RL solutions to production. This is no cookbook; doesn't shy away from math and expects familiarity with ML. Learn what RL is and how the algorithms help solve problems Become grounded in RL fundamentals including Markov decision processes, dynamic programming, and temporal difference learning Dive deep into a range of value and policy gradient methods Apply advanced RL solutions such as meta learning, hierarchical learning, multi-agent, and imitation learning Understand cutting-edge deep RL algorithms including Rainbow, PPO, TD3, SAC, and more Get practical examples through the accompanying website
Book Synopsis Introduction to Multi-Armed Bandits by : Aleksandrs Slivkins
Download or read book Introduction to Multi-Armed Bandits written by Aleksandrs Slivkins and published by . This book was released on 2019-10-31 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multi-armed bandits is a rich, multi-disciplinary area that has been studied since 1933, with a surge of activity in the past 10-15 years. This is the first book to provide a textbook like treatment of the subject.
Book Synopsis Bandit Algorithms by : Tor Lattimore
Download or read book Bandit Algorithms written by Tor Lattimore and published by Cambridge University Press. This book was released on 2020-07-16 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and rigorous introduction for graduate students and researchers, with applications in sequential decision-making problems.
Book Synopsis Sampling in Judgment and Decision Making by : Klaus Fiedler
Download or read book Sampling in Judgment and Decision Making written by Klaus Fiedler and published by Cambridge University Press. This book was released on 2023-05-31 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: An exploration of how statistical sampling principles impose theoretical constraints and enable novel insights on judgments and decisions.
Book Synopsis Probabilistic Machine Learning by : Kevin P. Murphy
Download or read book Probabilistic Machine Learning written by Kevin P. Murphy and published by MIT Press. This book was released on 2023-08-15 with total page 1352 pages. Available in PDF, EPUB and Kindle. Book excerpt: An advanced book for researchers and graduate students working in machine learning and statistics who want to learn about deep learning, Bayesian inference, generative models, and decision making under uncertainty. An advanced counterpart to Probabilistic Machine Learning: An Introduction, this high-level textbook provides researchers and graduate students detailed coverage of cutting-edge topics in machine learning, including deep generative modeling, graphical models, Bayesian inference, reinforcement learning, and causality. This volume puts deep learning into a larger statistical context and unifies approaches based on deep learning with ones based on probabilistic modeling and inference. With contributions from top scientists and domain experts from places such as Google, DeepMind, Amazon, Purdue University, NYU, and the University of Washington, this rigorous book is essential to understanding the vital issues in machine learning. Covers generation of high dimensional outputs, such as images, text, and graphs Discusses methods for discovering insights about data, based on latent variable models Considers training and testing under different distributions Explores how to use probabilistic models and inference for causal inference and decision making Features online Python code accompaniment
Book Synopsis The Elements of Joint Learning and Optimization in Operations Management by : Xi Chen
Download or read book The Elements of Joint Learning and Optimization in Operations Management written by Xi Chen and published by Springer Nature. This book was released on 2022-09-20 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines recent developments in Operations Management, and focuses on four major application areas: dynamic pricing, assortment optimization, supply chain and inventory management, and healthcare operations. Data-driven optimization in which real-time input of data is being used to simultaneously learn the (true) underlying model of a system and optimize its performance, is becoming increasingly important in the last few years, especially with the rise of Big Data.
Book Synopsis Foundations of Reinforcement Learning with Applications in Finance by : Ashwin Rao
Download or read book Foundations of Reinforcement Learning with Applications in Finance written by Ashwin Rao and published by CRC Press. This book was released on 2022-12-16 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foundations of Reinforcement Learning with Applications in Finance aims to demystify Reinforcement Learning, and to make it a practically useful tool for those studying and working in applied areas — especially finance. Reinforcement Learning is emerging as a powerful technique for solving a variety of complex problems across industries that involve Sequential Optimal Decisioning under Uncertainty. Its penetration in high-profile problems like self-driving cars, robotics, and strategy games points to a future where Reinforcement Learning algorithms will have decisioning abilities far superior to humans. But when it comes getting educated in this area, there seems to be a reluctance to jump right in, because Reinforcement Learning appears to have acquired a reputation for being mysterious and technically challenging. This book strives to impart a lucid and insightful understanding of the topic by emphasizing the foundational mathematics and implementing models and algorithms in well-designed Python code, along with robust coverage of several financial trading problems that can be solved with Reinforcement Learning. This book has been created after years of iterative experimentation on the pedagogy of these topics while being taught to university students as well as industry practitioners. Features Focus on the foundational theory underpinning Reinforcement Learning and software design of the corresponding models and algorithms Suitable as a primary text for courses in Reinforcement Learning, but also as supplementary reading for applied/financial mathematics, programming, and other related courses Suitable for a professional audience of quantitative analysts or data scientists Blends theory/mathematics, programming/algorithms and real-world financial nuances while always striving to maintain simplicity and to build intuitive understanding To access the code base for this book, please go to: https://github.com/TikhonJelvis/RL-book.
Book Synopsis Bandit Algorithms by : Tor Lattimore
Download or read book Bandit Algorithms written by Tor Lattimore and published by Cambridge University Press. This book was released on 2020-07-16 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision-making in the face of uncertainty is a significant challenge in machine learning, and the multi-armed bandit model is a commonly used framework to address it. This comprehensive and rigorous introduction to the multi-armed bandit problem examines all the major settings, including stochastic, adversarial, and Bayesian frameworks. A focus on both mathematical intuition and carefully worked proofs makes this an excellent reference for established researchers and a helpful resource for graduate students in computer science, engineering, statistics, applied mathematics and economics. Linear bandits receive special attention as one of the most useful models in applications, while other chapters are dedicated to combinatorial bandits, ranking, non-stationary problems, Thompson sampling and pure exploration. The book ends with a peek into the world beyond bandits with an introduction to partial monitoring and learning in Markov decision processes.
Book Synopsis Sampling Theory and Practice by : Changbao Wu
Download or read book Sampling Theory and Practice written by Changbao Wu and published by Springer Nature. This book was released on 2020-05-15 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three parts of this book on survey methodology combine an introduction to basic sampling theory, engaging presentation of topics that reflect current research trends, and informed discussion of the problems commonly encountered in survey practice. These related aspects of survey methodology rarely appear together under a single connected roof, making this book a unique combination of materials for teaching, research and practice in survey sampling. Basic knowledge of probability theory and statistical inference is assumed, but no prior exposure to survey sampling is required. The first part focuses on the design-based approach to finite population sampling. It contains a rigorous coverage of basic sampling designs, related estimation theory, model-based prediction approach, and model-assisted estimation methods. The second part stems from original research conducted by the authors as well as important methodological advances in the field during the past three decades. Topics include calibration weighting methods, regression analysis and survey weighted estimating equation (EE) theory, longitudinal surveys and generalized estimating equations (GEE) analysis, variance estimation and resampling techniques, empirical likelihood methods for complex surveys, handling missing data and non-response, and Bayesian inference for survey data. The third part provides guidance and tools on practical aspects of large-scale surveys, such as training and quality control, frame construction, choices of survey designs, strategies for reducing non-response, and weight calculation. These procedures are illustrated through real-world surveys. Several specialized topics are also discussed in detail, including household surveys, telephone and web surveys, natural resource inventory surveys, adaptive and network surveys, dual-frame and multiple frame surveys, and analysis of non-probability survey samples. This book is a self-contained introduction to survey sampling that provides a strong theoretical base with coverage of current research trends and pragmatic guidance and tools for conducting surveys.
Book Synopsis Scala for Machine Learning by : Patrick R. Nicolas
Download or read book Scala for Machine Learning written by Patrick R. Nicolas and published by Packt Publishing Ltd. This book was released on 2017-09-26 with total page 740 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage Scala and Machine Learning to study and construct systems that can learn from data About This Book Explore a broad variety of data processing, machine learning, and genetic algorithms through diagrams, mathematical formulation, and updated source code in Scala Take your expertise in Scala programming to the next level by creating and customizing AI applications Experiment with different techniques and evaluate their benefits and limitations using real-world applications in a tutorial style Who This Book Is For If you're a data scientist or a data analyst with a fundamental knowledge of Scala who wants to learn and implement various Machine learning techniques, this book is for you. All you need is a good understanding of the Scala programming language, a basic knowledge of statistics, a keen interest in Big Data processing, and this book! What You Will Learn Build dynamic workflows for scientific computing Leverage open source libraries to extract patterns from time series Write your own classification, clustering, or evolutionary algorithm Perform relative performance tuning and evaluation of Spark Master probabilistic models for sequential data Experiment with advanced techniques such as regularization and kernelization Dive into neural networks and some deep learning architecture Apply some basic multiarm-bandit algorithms Solve big data problems with Scala parallel collections, Akka actors, and Apache Spark clusters Apply key learning strategies to a technical analysis of financial markets In Detail The discovery of information through data clustering and classification is becoming a key differentiator for competitive organizations. Machine learning applications are everywhere, from self-driving cars, engineering design, logistics, manufacturing, and trading strategies, to detection of genetic anomalies. The book is your one stop guide that introduces you to the functional capabilities of the Scala programming language that are critical to the creation of machine learning algorithms such as dependency injection and implicits. You start by learning data preprocessing and filtering techniques. Following this, you'll move on to unsupervised learning techniques such as clustering and dimension reduction, followed by probabilistic graphical models such as Naive Bayes, hidden Markov models and Monte Carlo inference. Further, it covers the discriminative algorithms such as linear, logistic regression with regularization, kernelization, support vector machines, neural networks, and deep learning. You'll move on to evolutionary computing, multibandit algorithms, and reinforcement learning. Finally, the book includes a comprehensive overview of parallel computing in Scala and Akka followed by a description of Apache Spark and its ML library. With updated codes based on the latest version of Scala and comprehensive examples, this book will ensure that you have more than just a solid fundamental knowledge in machine learning with Scala. Style and approach This book is designed as a tutorial with hands-on exercises using technical analysis of financial markets and corporate data. The approach of each chapter is such that it allows you to understand key concepts easily.
Book Synopsis Research Handbook on Inventory Management by : Jing-Sheng J. Song
Download or read book Research Handbook on Inventory Management written by Jing-Sheng J. Song and published by Edward Elgar Publishing. This book was released on 2023-08-14 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook provides an overview of state-of-the-art research on quantitative models for inventory management. Despite over half a century’s progress, inventory management remains a challenge, as evidenced by the recent Covid-19 pandemic. With an expanse of world-renowned inventory scholars from major international research universities, this Handbook explores key areas including mathematical modelling, the interplay of inventory decisions and other business decisions and the unique challenges posed to multiple industries.
Book Synopsis Collaborative Computing: Networking, Applications and Worksharing by : Honghao Gao
Download or read book Collaborative Computing: Networking, Applications and Worksharing written by Honghao Gao and published by Springer. This book was released on 2019-02-06 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed proceedings of the 14th International Conference on Collaborative Computing: Networking, Applications, and Worksharing, CollaborateCom 2018, held in Shanghai, China, in December 2018. The 43 full and 19 short papers presented were carefully reviewed and selected from 106 submissions. The papers reflect the conference sessions as follows: vehicular networks; social networks, information processing, data detection and retrieval & mobility, parallel computing, knowledge graph, cloud and optimization & software testing and formal verification; collaborative computing, social networks, vehicular networks, networks and sensors, information processing and collaborative computing, mobility and software testing and formal verification, web services and image information processing, web services and remote sensing.
