Stochastic high dimensional bandit problems with low dimensional structure are useful in different applications such as online advertising and drug discovery. In this work, we propose a simple unified algorithm for such problems and present a general analysis framework for the regret upper bound of our algorithm. We show that under some mild unified assumptions, our algorithm can be applied to different high dimensional bandit problems. Our framework utilizes the low dimensional structure to guide the parameter estimation in the problem, therefore our algorithm achieves the best regret bounds in the LASSO bandit, better bounds in the low-rank matrix bandit and the group sparse matrix bandit, as well as a novel bound in the multi-agent LASSO bandit.
In this paper, we study the problem of learning the exact structure of continuous-action games with non-parametric utility functions. We propose an 1 regularized method which encourages sparsity of the coefficients of the Fourier transform of the recovered utilities. Our method works by accessing very few Nash equilibria and their noisy utilities. Under certain technical conditions, our method also recovers the exact structure of these utility functions, and thus, the exact structure of the game. Furthermore, our method only needs a logarithmic number of samples in terms of the number of players and runs in polynomial time. We follow the primal-dual witness framework to provide provable theoretical guarantees.
We analyze the necessary number of samples for sparse vector recovery in a noisy linear prediction setup. This model includes problems such as linear regression and classification. We focus on structured graph models. In particular, we prove that sufficient number of samples for the weighted graph model proposed by Hegde and others [2] is also necessary. We use the Fano's inequality [11] on well constructed ensembles as our main tool in establishing information theoretic lower bounds.
In this paper, we study the problem of structure learning for Bayesian networks in which nodes take discrete values. The problem is NP-hard in general but we show that under certain conditions we can recover the true structure of a Bayesian network with sufficient number of samples. We develop a mathematical model which does not assume any specific conditional probability distributions for the nodes. We use a primal-dual witness construction to prove that, under some technical conditions on the interaction between node pairs, we can do exact recovery of the parents and children of a node by performing group 12 -regularized multivariate regression. Thus, we recover the true Bayesian network structure. If degree of a node is bounded then the sample complexity of our proposed approach grows logarithmically with respect to the number of nodes in the Bayesian network. Furthermore, our method runs in polynomial time.
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