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.ML2025
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…
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…