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stat.ML2020
Multiscale Non-stationary Stochastic Bandits
Qin Ding, Cho-Jui Hsieh, James Sharpnack
Classic contextual bandit algorithms for linear models, such as LinUCB, assume that the reward distribution for an arm is modeled by a stationary linear regression. When the linear…
stat.ML2012★ 5 cited
Variance function estimation in high-dimensions
Mladen Kolar, James Sharpnack
We consider the high-dimensional heteroscedastic regression model, where the mean and the log variance are modeled as a linear combination of input variables. Existing literature o…