41 citations · 88 across the 7 of their papers we have counts for
7 papers
Sharp small-deviation inequalities for sums of independent nonnegative random variables
Weibo Fu, Yanjun Han, Guanyang Wang +3
Let be independent nonnegative random variables with , and write . For , we prove that \[ \mathbb{P}\left(S<\mathbb{E} S+δ\…
Distributionally Robust Martingale Optimal Transport
Zhengqing Zhou, Jose Blanchet, Peter W. Glynn
We study the problem of bounding path-dependent expectations (within any finite time horizon ) over the class of discrete-time martingales whose marginal distributions lie withi…
Unbiased Optimal Stopping via the MUSE
Zhengqing Zhou, Guanyang Wang, Jose Blanchet +1
We propose a new unbiased estimator for estimating the utility of the optimal stopping problem. The MUSE, short for Multilevel Unbiased Stopping Estimator, constructs the unbiased…
Sequential Batch Learning in Finite-Action Linear Contextual Bandits
Yanjun Han, Zhengqing Zhou, Zihao Hu +4
We study the sequential batch learning problem in linear contextual bandits with finite action sets, where the decision maker is constrained to split incoming individuals into (at…
Multivariate Distributionally Robust Convex Regression under Absolute Error Loss
Jose Blanchet, Peter W. Glynn, Jun Yan +1
This paper proposes a novel non-parametric multidimensional convex regression estimator which is designed to be robust to adversarial perturbations in the empirical measure. We min…
Optimal Communication Rates and Combinatorial Properties for Common Randomness Generation
Yanjun Han, Kedar Tatwawadi, Gowtham R. Kurri +3
We study common randomness generation problems where players aim to generate same sequences of random coin flips where some subsets of the players share an independent common c…
Batched Multi-armed Bandits Problem
Zijun Gao, Yanjun Han, Zhimei Ren +1
In this paper, we study the multi-armed bandit problem in the batched setting where the employed policy must split data into a small number of batches. While the minimax regret for…