3 papers
stat.ML2025
Non-Stationary Lipschitz Bandits
Nicolas Nguyen, Solenne Gaucher, Claire Vernade
We study the problem of non-stationary Lipschitz bandits, where the number of actions is infinite and the reward function, satisfying a Lipschitz assumption, can change arbitrarily…
stat.AP2024
Variational Bayes Portfolio Construction
Nicolas Nguyen, James Ridgway, Claire Vernade
Portfolio construction is the science of balancing reward and risk; it is at the core of modern finance. In this paper, we tackle the question of optimal decision-making within a B…
stat.ML2024
Prior-Dependent Allocations for Bayesian Fixed-Budget Best-Arm Identification in Structured Bandits
Nicolas Nguyen, Imad Aouali, András György +1
We study the problem of Bayesian fixed-budget best-arm identification (BAI) in structured bandits. We propose an algorithm that uses fixed allocations based on the prior informatio…