363 citations · 1.1k across the 50 of their papers we have counts for
7 papers · 1 filter
Regret Bounds and Experimental Design for Estimate-then-Optimize
Samuel Tan, Peter I. Frazier
In practical applications, data is used to make decisions in two steps: estimation and optimization. First, a machine learning model estimates parameters for a structural model rel…
Dynamic Pricing Provides Robust Equilibria in Stochastic Ridesharing Networks
J. Massey Cashore, Peter I. Frazier, Eva Tardos
Ridesharing markets are complex: drivers are strategic, rider demand and driver availability are stochastic, and complex city-scale phenomena like weather induce large scale correl…
Restless Bandits with Many Arms: Beating the Central Limit Theorem
Xiangyu Zhang, Peter I. Frazier
We consider finite-horizon restless bandits with multiple pulls per period, which play an important role in recommender systems, active learning, revenue management, and many other…
An Asymptotically Optimal Index Policy for Finite-Horizon Restless Bandits
Weici Hu, Peter Frazier
We consider restless multi-armed bandit (RMAB) with a finite horizon and multiple pulls per period. Leveraging the Lagrangian relaxation, we approximate the problem with a collecti…
Multi-Step Bayesian Optimization for One-Dimensional Feasibility Determination
J. Massey Cashore, Lemuel Kumarga, Peter I. Frazier
Bayesian optimization methods allocate limited sampling budgets to maximize expensive-to-evaluate functions. One-step-lookahead policies are often used, but computing optimal multi…
A New Optimal Stepsize For Approximate Dynamic Programming
Ilya O. Ryzhov, Peter I. Frazier, Warren B. Powell
Approximate dynamic programming (ADP) has proven itself in a wide range of applications spanning large-scale transportation problems, health care, revenue management, and energy sy…
Exploration vs. Exploitation in the Information Filtering Problem
Xiaoting Zhao, Peter I. Frazier
We consider information filtering, in which we face a stream of items too voluminous to process by hand (e.g., scientific articles, blog posts, emails), and must rely on a computer…