56 citations · 200 across the 32 of their papers we have counts for
4 papers · 1 filter
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…
Online Decision Deferral under Budget Constraints
Mirabel Reid, Tom Sühr, Claire Vernade +1
Machine Learning (ML) models are increasingly used to support or substitute decision making. In applications where skilled experts are a limited resource, it is crucial to reduce t…
A Pontryagin Perspective on Reinforcement Learning
Onno Eberhard, Claire Vernade, Michael Muehlebach
Reinforcement learning has traditionally focused on learning state-dependent policies to solve optimal control problems in a closed-loop fashion. In this work, we introduce the par…
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…