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Classic online prediction algorithms, such as Hedge, are inherently unfair by design, as they try to play the most rewarding arm as many times as possible while ignoring the sub-optimal arms to achieve sublinear regret. In this paper, we consider a fair online prediction problem in the adversarial setting with hard lower bounds on the rate of accrual of rewards for all arms. By combining elementary queueing theory with online learning, we propose a new online prediction policy, called BanditQ, that achieves the target rate constraints while achieving a regret of $O(T^{3/4})$ in the full-information setting. The design and analysis of BanditQ involve a novel use of the potential function method and are of independent interest.

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There is a rapid increase in the cooperative learning paradigm in online learning settings, i.e., federated learning (FL). Unlike most FL settings, there are many situations where the agents are competitive. Each agent would like to learn from others, but the part of the information it shares for others to learn from could be sensitive; thus, it desires its privacy. This work investigates a group of agents working concurrently to solve similar combinatorial bandit problems while maintaining quality constraints. Can these agents collectively learn while keeping their sensitive information confidential by employing differential privacy? We observe that communicating can reduce the regret. However, differential privacy techniques for protecting sensitive information makes the data noisy and may deteriorate than help to improve regret. Hence, we note that it is essential to decide when to communicate and what shared data to learn to strike a functional balance between regret and privacy. For such a federated combinatorial MAB setting, we propose a Privacy-preserving Federated Combinatorial Bandit algorithm, P-FCB. We illustrate the efficacy of P-FCB through simulations. We further show that our algorithm provides an improvement in terms of regret while upholding quality threshold and meaningful privacy guarantees.

We consider repeated multi-unit auctions with uniform pricing, which are widely used in practice for allocating goods such as carbon licenses. In each round, $K$ identical units of a good are sold to a group of buyers that have valuations with diminishing marginal returns. The buyers submit bids for the units, and then a price $p$ is set per unit so that all the units are sold. We consider two variants of the auction, where the price is set to the $K$-th highest bid and $(K+1)$-st highest bid, respectively. We analyze the properties of this auction in both the offline and online settings. In the offline setting, we consider the problem that one player $i$ is facing: given access to a data set that contains the bids submitted by competitors in past auctions, find a bid vector that maximizes player $i$'s cumulative utility on the data set. We design a polynomial time algorithm for this problem, by showing it is equivalent to finding a maximum-weight path on a carefully constructed directed acyclic graph. In the online setting, the players run learning algorithms to update their bids as they participate in the auction over time. Based on our offline algorithm, we design efficient online learning algorithms for bidding. The algorithms have sublinear regret, under both full information and bandit feedback structures. We complement our online learning algorithms with regret lower bounds. Finally, we analyze the quality of the equilibria in the worst case through the lens of the core solution concept in the game among the bidders. We show that the $(K+1)$-st price format is susceptible to collusion among the bidders; meanwhile, the $K$-th price format does not have this issue.

Existing online learning algorithms for adversarial Markov Decision Processes achieve ${O}(\sqrt{T})$ regret after $T$ rounds of interactions even if the loss functions are chosen arbitrarily by an adversary, with the caveat that the transition function has to be fixed. This is because it has been shown that adversarial transition functions make no-regret learning impossible. Despite such impossibility results, in this work, we develop algorithms that can handle both adversarial losses and adversarial transitions, with regret increasing smoothly in the degree of maliciousness of the adversary. More concretely, we first propose an algorithm that enjoys $\widetilde{{O}}(\sqrt{T} + C^{\textsf{P}})$ regret where $C^{\textsf{P}}$ measures how adversarial the transition functions are and can be at most ${O}(T)$. While this algorithm itself requires knowledge of $C^{\textsf{P}}$, we further develop a black-box reduction approach that removes this requirement. Moreover, we also show that further refinements of the algorithm not only maintains the same regret bound, but also simultaneously adapts to easier environments (where losses are generated in a certain stochastically constrained manner as in Jin et al.[2021]) and achieves $\widetilde{{O}}(U + \sqrt{UC^{\textsf{L}}} + C^{\textsf{P}})$ regret, where $U$ is some standard gap-dependent coefficient and $C^{\textsf{L}}$ is the amount of corruption on losses.

This paper provides a comprehensive error analysis of learning with vector-valued random features (RF). The theory is developed for RF ridge regression in a fully general infinite-dimensional input-output setting, but nonetheless applies to and improves existing finite-dimensional analyses. In contrast to comparable work in the literature, the approach proposed here relies on a direct analysis of the underlying risk functional and completely avoids the explicit RF ridge regression solution formula in terms of random matrices. This removes the need for concentration results in random matrix theory or their generalizations to random operators. The main results established in this paper include strong consistency of vector-valued RF estimators under model misspecification and minimax optimal convergence rates in the well-specified setting. The parameter complexity (number of random features) and sample complexity (number of labeled data) required to achieve such rates are comparable with Monte Carlo intuition and free from logarithmic factors.

Hierarchical Imitation Learning (HIL) has been proposed to recover highly-complex behaviors in long-horizon tasks from expert demonstrations by modeling the task hierarchy with the option framework. Existing methods either overlook the causal relationship between the subtask and its corresponding policy or cannot learn the policy in an end-to-end fashion, which leads to suboptimality. In this work, we develop a novel HIL algorithm based on Adversarial Inverse Reinforcement Learning and adapt it with the Expectation-Maximization algorithm in order to directly recover a hierarchical policy from the unannotated demonstrations. Further, we introduce a directed information term to the objective function to enhance the causality and propose a Variational Autoencoder framework for learning with our objectives in an end-to-end fashion. Theoretical justifications and evaluations on challenging robotic control tasks are provided to show the superiority of our algorithm. The codes are available at //github.com/LucasCJYSDL/HierAIRL.

Developing learning-based methods for navigation of aerial robots is an intensive data-driven process that requires highly parallelized simulation. The full utilization of such simulators is hindered by the lack of parallelized high-level control methods that imitate the real-world robot interface. Responding to this need, we develop the Aerial Gym simulator that can simulate millions of multirotor vehicles parallelly with nonlinear geometric controllers for the Special Euclidean Group SE(3) for attitude, velocity and position tracking. We also develop functionalities for managing a large number of obstacles in the environment, enabling rapid randomization for learning of navigation tasks. In addition, we also provide sample environments having robots with simulated cameras capable of capturing RGB, depth, segmentation and optical flow data in obstacle-rich environments. This simulator is a step towards developing a - currently missing - highly parallelized aerial robot simulation with geometric controllers at a large scale, while also providing a customizable obstacle randomization functionality for navigation tasks. We provide training scripts with compatible reinforcement learning frameworks to navigate the robot to a goal setpoint based on attitude and velocity command interfaces. Finally, we open source the simulator and aim to develop it further to speed up rendering using alternate kernel-based frameworks in order to parallelize ray-casting for depth images thus supporting a larger number of robots.

In this paper, we study the problem of optimal data collection for policy evaluation in linear bandits. In policy evaluation, we are given a target policy and asked to estimate the expected reward it will obtain when executed in a multi-armed bandit environment. Our work is the first work that focuses on such optimal data collection strategy for policy evaluation involving heteroscedastic reward noise in the linear bandit setting. We first formulate an optimal design for weighted least squares estimates in the heteroscedastic linear bandit setting that reduces the MSE of the value of the target policy. We then use this formulation to derive the optimal allocation of samples per action during data collection. We then introduce a novel algorithm SPEED (Structured Policy Evaluation Experimental Design) that tracks the optimal design and derive its regret with respect to the optimal design. Finally, we empirically validate that SPEED leads to policy evaluation with mean squared error comparable to the oracle strategy and significantly lower than simply running the target policy.

We propose Convex Constraint Learning for Reinforcement Learning (CoCoRL), a novel approach for inferring shared constraints in a Constrained Markov Decision Process (CMDP) from a set of safe demonstrations with possibly different reward functions. While previous work is limited to demonstrations with known rewards or fully known environment dynamics, CoCoRL can learn constraints from demonstrations with different unknown rewards without knowledge of the environment dynamics. CoCoRL constructs a convex safe set based on demonstrations, which provably guarantees safety even for potentially sub-optimal (but safe) demonstrations. For near-optimal demonstrations, CoCoRL converges to the true safe set with no policy regret. We evaluate CoCoRL in tabular environments and a continuous driving simulation with multiple constraints. CoCoRL learns constraints that lead to safe driving behavior and that can be transferred to different tasks and environments. In contrast, alternative methods based on Inverse Reinforcement Learning (IRL) often exhibit poor performance and learn unsafe policies.

I study a stochastic multi-arm bandit problem where rewards are subject to adversarial corruption. I propose a novel attack strategy that manipulates a learner employing the UCB algorithm into pulling some non-optimal target arm $T - o(T)$ times with a cumulative cost that scales as $\widehat{O}(\sqrt{\log T})$, where $T$ is the number of rounds. I also prove the first lower bound on the cumulative attack cost. The lower bound matches the upper bound up to $O(\log \log T)$ factors, showing the proposed attack strategy to be near optimal.

Bid optimization for online advertising from single advertiser's perspective has been thoroughly investigated in both academic research and industrial practice. However, existing work typically assume competitors do not change their bids, i.e., the wining price is fixed, leading to poor performance of the derived solution. Although a few studies use multi-agent reinforcement learning to set up a cooperative game, they still suffer the following drawbacks: (1) They fail to avoid collusion solutions where all the advertisers involved in an auction collude to bid an extremely low price on purpose. (2) Previous works cannot well handle the underlying complex bidding environment, leading to poor model convergence. This problem could be amplified when handling multiple objectives of advertisers which are practical demands but not considered by previous work. In this paper, we propose a novel multi-objective cooperative bid optimization formulation called Multi-Agent Cooperative bidding Games (MACG). MACG sets up a carefully designed multi-objective optimization framework where different objectives of advertisers are incorporated. A global objective to maximize the overall profit of all advertisements is added in order to encourage better cooperation and also to protect self-bidding advertisers. To avoid collusion, we also introduce an extra platform revenue constraint. We analyze the optimal functional form of the bidding formula theoretically and design a policy network accordingly to generate auction-level bids. Then we design an efficient multi-agent evolutionary strategy for model optimization. Offline experiments and online A/B tests conducted on the Taobao platform indicate both single advertiser's objective and global profit have been significantly improved compared to state-of-art methods.

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