Ruihao Zhu

Jie Li, Hancheng Cao, Laura Lin et al.

Among creative professionals, Generative Artificial Intelligence (GenAI) has sparked excitement over its capabilities and fear over unanticipated consequences. How does GenAI impact User Experience Design (UXD) practice, and are fears warranted? We interviewed 20 UX Designers, with diverse experience and across companies (startups to large enterprises). We probed them to characterize their practices, and sample their attitudes, concerns, and expectations. We found that experienced designers are confident in their originality, creativity, and empathic skills, and find GenAI's role as assistive. They emphasized the unique human factors of "enjoyment" and "agency", where humans remain the arbiters of "AI alignment". However, skill degradation, job replacement, and creativity exhaustion can adversely impact junior designers. We discuss implications for human-GenAI collaboration, specifically copyright and ownership, human creativity and agency, and AI literacy and access. Through the lens of responsible and participatory AI, we contribute a deeper understanding of GenAI fears and opportunities for UXD.

Subhojyoti Mukherjee, Ruihao Zhu, Branislav Kveton

Motivated by the importance of explainability in modern machine learning, we design bandit algorithms that are efficient and interpretable. A bandit algorithm is interpretable if it explores with the objective of reducing uncertainty in the unknown model parameter. To quantify the interpretability, we introduce a novel metric of model error, which compares the rate reduction of the mean reward estimates to their actual means among all the plausible actions. We propose CODE, a bandit algorithm based on a Constrained Optimal DEsign, that is interpretable and maximally reduces the uncertainty. The key idea in CODE is to explore among all plausible actions, determined by a statistical constraint, to achieve interpretability. We implement CODE efficiently in both multi-armed and linear bandits and derive near-optimal regret bounds by leveraging the optimality criteria of the approximate optimal design. CODE can be also viewed as removing phases in conventional phased elimination, which makes it more practical and general. We demonstrate the advantage of CODE by numerical experiments on both synthetic and real-world problems. CODE outperforms other state-of-the-art interpretable designs while matching the performance of popular but uninterpretable designs, such as upper confidence bound algorithms.

Kuo Liang, Yuhang Lu, Jianming Mao et al.

Large-scale optimization is a key backbone of modern business decision-making. However, building these models is often labor-intensive and time-consuming. We address this by proposing LEAN-LLM-OPT, a LightwEight AgeNtic workflow construction framework for LLM-assisted large-scale OPTimization auto-formulation. LEAN-LLM-OPT takes as input a problem description together with associated datasets and orchestrates a team of LLM agents to produce an optimization formulation. Specifically, upon receiving a query, two upstream LLM agents dynamically construct a workflow that specifies, step-by-step, how optimization models for similar problems can be formulated. A downstream LLM agent then follows this workflow to generate the final output. Leveraging LLMs' text-processing capabilities and common modeling practices, the workflow decomposes the modeling task into a sequence of structured sub-tasks and offloads mechanical data-handling operations to auxiliary tools. This design alleviates the downstream agent's burden related to planning and data handling, allowing it to focus on the most challenging components that cannot be readily standardized. Extensive simulations show that LEAN-LLM-OPT, instantiated with GPT-4.1 and the open source gpt-oss-20B, achieves strong performance on large-scale optimization modeling tasks and is competitive with state-of-the-art approaches. In addition, in a Singapore Airlines choice-based revenue management use case, LEAN-LLM-OPT demonstrates practical value by achieving leading performance across a range of scenarios. Along the way, we introduce Large-Scale-OR and Air-NRM, the first comprehensive benchmarks for large-scale optimization auto-formulation. The code and data of this work is available at https://github.com/CoraLiang01/lean-llm-opt.

Jingwei Ji, Renyuan Xu, Ruihao Zhu

Motivated by practical considerations in machine learning for financial decision-making, such as risk aversion and large action space, we consider risk-aware bandits optimization with applications in smart order routing (SOR). Specifically, based on preliminary observations of linear price impacts made from the NASDAQ ITCH dataset, we initiate the study of risk-aware linear bandits. In this setting, we aim at minimizing regret, which measures our performance deficit compared to the optimum's, under the mean-variance metric when facing a set of actions whose rewards are linear functions of (initially) unknown parameters. Driven by the variance-minimizing globally-optimal (G-optimal) design, we propose the novel instance-independent Risk-Aware Explore-then-Commit (RISE) algorithm and the instance-dependent Risk-Aware Successive Elimination (RISE++) algorithm. Then, we rigorously analyze their near-optimal regret upper bounds to show that, by leveraging the linear structure, our algorithms can dramatically reduce the regret when compared to existing methods. Finally, we demonstrate the performance of the algorithms by conducting extensive numerical experiments in the SOR setup using both synthetic datasets and the NASDAQ ITCH dataset. Our results reveal that 1) The linear structure assumption can indeed be well supported by the Nasdaq dataset; and more importantly 2) Both RISE and RISE++ can significantly outperform the competing methods, in terms of regret, especially in complex decision-making scenarios.

Qing Feng, Ruihao Zhu, Stefanus Jasin

Motivated by the prevalence of ``price protection guarantee", which allows a customer who purchased a product in the past to receive a refund from the seller during the so-called price protection period (typically defined as a certain time window after the purchase date) in case the seller decides to lower the price, we study the impact of such policy on the design of online learning algorithm for data-driven dynamic pricing with initially unknown customer demand. We consider a setting where a firm sells a product over a horizon of $T$ time steps. For this setting, we characterize how the value of $M$, the length of price protection period, can affect the optimal regret of the learning process. We show that the optimal regret is $\tildeΘ(\sqrt{T}+\min\{M,\,T^{2/3}\})$ by first establishing a fundamental impossible regime with novel regret lower bound instances. Then, we propose LEAP, a phased exploration type algorithm for \underline{L}earning and \underline{EA}rning under \underline{P}rice Protection to match this lower bound up to logarithmic factors or even doubly logarithmic factors (when there are only two prices available to the seller). Our results reveal the surprising phase transitions of the optimal regret with respect to $M$. Specifically, when $M$ is not too large, the optimal regret has no major difference when compared to that of the classic setting with no price protection guarantee. We also show that there exists an upper limit on how much the optimal regret can deteriorate when $M$ grows large. Finally, we conduct extensive numerical experiments to show the benefit of LEAP over other heuristic methods for this problem.

Xuejun Zhao, Ruihao Zhu, William B. Haskell

The rise of big data analytics has automated the decision-making of companies and increased supply chain agility. In this paper, we study the supply chain contract design problem faced by a data-driven supplier who needs to respond to the inventory decisions of the downstream retailer. Both the supplier and the retailer are uncertain about the market demand and need to learn about it sequentially. The goal for the supplier is to develop data-driven pricing policies with sublinear regret bounds under a wide range of possible retailer inventory policies for a fixed time horizon. To capture the dynamics induced by the retailer's learning policy, we first make a connection to non-stationary online learning by following the notion of variation budget. The variation budget quantifies the impact of the retailer's learning strategy on the supplier's decision-making. We then propose dynamic pricing policies for the supplier for both discrete and continuous demand. We also note that our proposed pricing policy only requires access to the support of the demand distribution, but critically, does not require the supplier to have any prior knowledge about the retailer's learning policy or the demand realizations. We examine several well-known data-driven policies for the retailer, including sample average approximation, distributionally robust optimization, and parametric approaches, and show that our pricing policies lead to sublinear regret bounds in all these cases. At the managerial level, we answer affirmatively that there is a pricing policy with a sublinear regret bound under a wide range of retailer's learning policies, even though she faces a learning retailer and an unknown demand distribution. Our work also provides a novel perspective in data-driven operations management where the principal has to learn to react to the learning policies employed by other agents in the system.

Yi Wan, Jiuqi Wang, Liam Li et al.

Tool-augmented large language models (LLMs) are emerging as deep research agents, systems that decompose complex queries, retrieve external evidence, and synthesize grounded responses. Yet current agents remain limited by shallow retrieval, weak alignment metrics, and brittle tool-use behavior. We introduce PokeeResearch-7B, a 7B-parameter deep research agent built under a unified reinforcement learning framework for robustness, alignment, and scalability. PokeeResearch-7B is trained by an annotation-free Reinforcement Learning from AI Feedback (RLAIF) framework to optimize policies using LLM-based reward signals that capture factual accuracy, citation faithfulness, and instruction adherence. A chain-of-thought-driven multi-call reasoning scaffold further enhances robustness through self-verification and adaptive recovery from tool failures. Among 10 popular deep research benchmarks, PokeeResearch-7B achieves state-of-the-art performance among 7B-scale deep research agents. This highlights that careful reinforcement learning and reasoning design can produce efficient, resilient, and research-grade AI agents. The model and inference code is open-sourced under Apache 2.0 license at https://github.com/Pokee-AI/PokeeResearchOSS.

Yixuan Zhang, Ruihao Zhu, Qiaomin Xie

Motivated by the principle of satisficing in decision-making, we study satisficing regret guarantees for nonstationary $K$-armed bandits. We show that in the general realizable, piecewise-stationary setting with $L$ stationary segments, the optimal regret is $Θ(L\log T)$ as long as $L\geq 2$. This stands in sharp contrast to the case of $L=1$ (i.e., the stationary setting), where a $T$-independent $Θ(1)$ satisficing regret is achievable under realizability. In other words, the optimal regret has to scale with $T$ even if just a little nonstationarity presents. A key ingredient in our analysis is a novel Fano-based framework tailored to nonstationary bandits via a \emph{post-interaction reference} construction. This framework strictly extends the classical Fano method for passive estimation as well as recent interactive Fano techniques for stationary bandits. As a complement, we also discuss a special regime in which constant satisficing regret is again possible.

Jiachen Liu, Jiaxin Pei, Jintao Huang et al.

Scientific publication compresses a branching, iterative research process into a linear narrative, discarding the majority of what was discovered along the way. This compilation imposes two structural costs: a Storytelling Tax, where failed experiments, rejected hypotheses, and the branching exploration process are discarded to fit a linear narrative; and an Engineering Tax, where the gap between reviewer-sufficient prose and agent-sufficient specification leaves critical implementation details unwritten. Tolerable for human readers, these costs become critical when AI agents must understand, reproduce, and extend published work. We introduce the Agent-Native Research Artifact (Ara), a protocol that replaces the narrative paper with a machine-executable research package structured around four layers: scientific logic, executable code with full specifications, an exploration graph that preserves the failures compilation discards, and evidence grounding every claim in raw outputs. Three mechanisms support the ecosystem: a Live Research Manager that captures decisions and dead ends during ordinary development; an Ara Compiler that translates legacy PDFs and repos into Aras; and an Ara-native review system that automates objective checks so human reviewers can focus on significance, novelty, and taste. On PaperBench and RE-Bench, Ara raises question-answering accuracy from 72.4% to 93.7% and reproduction success from 57.4% to 64.4%. On RE-Bench's five open-ended extension tasks, preserved failure traces in Ara accelerate progress, but can also constrain a capable agent from stepping outside the prior-run box depending on the agent's capabilities.

Wenlong Ji, Yihan Pan, Ruihao Zhu et al.

Multi-armed bandit (MAB) is a widely adopted framework for sequential decision-making under uncertainty. Traditional bandit algorithms rely solely on online data, which tends to be scarce as it must be gathered during the online phase when the arms are actively pulled. However, in many practical settings, rich auxiliary data, such as covariates of past users, is available prior to deploying any arms. We introduce a new setting for MAB where pre-trained machine learning (ML) models are applied to convert side information and historical data into \emph{surrogate rewards}. A prominent feature of this setting is that the surrogate rewards may exhibit substantial bias, as true reward data is typically unavailable in the offline phase, forcing ML predictions to heavily rely on extrapolation. To address the issue, we propose the Machine Learning-Assisted Upper Confidence Bound (MLA-UCB) algorithm, which can be applied to any reward prediction model and any form of auxiliary data. When the predicted and true rewards are jointly Gaussian, it provably improves the cumulative regret, provided that the correlation is non-zero -- even in cases where the mean surrogate reward completely misaligns with the true mean rewards. Notably, our method requires no prior knowledge of the covariance matrix between true and surrogate rewards. We compare MLA-UCB with the standard UCB on a range of numerical studies and show a sizable efficiency gain even when the size of the offline data and the correlation between predicted and true rewards are moderate.

Zhekai Li, Tianyi Ma, Cheng Hua et al.

Motivated by the need to efficiently identify multiple candidates in high trial-and-error cost tasks such as drug discovery, we propose a near-optimal algorithm to identify all ε-best arms (i.e., those at most ε worse than the optimum). Specifically, we introduce LinFACT, an algorithm designed to optimize the identification of all ε-best arms in linear bandits. We establish a novel information-theoretic lower bound on the sample complexity of this problem and demonstrate that LinFACT achieves instance optimality by matching this lower bound up to a logarithmic factor. A key ingredient of our proof is to integrate the lower bound directly into the scaling process for upper bound derivation, determining the termination round and thus the sample complexity. We also extend our analysis to settings with model misspecification and generalized linear models. Numerical experiments, including synthetic and real drug discovery data, demonstrate that LinFACT identifies more promising candidates with reduced sample complexity, offering significant computational efficiency and accelerating early-stage exploratory experiments.

Jie Li, Youyang Hou, Laura Lin et al.

Generative AI is reshaping UX design practices through "vibe coding," where UX professionals express intent in natural language and AI translates it into functional prototypes and code. Despite rapid adoption, little research has examined how vibe coding reconfigures UX workflows and collaboration. Drawing on interviews with 20 UX professionals across enterprises, startups, and academia, we show how vibe coding follows a four-stage workflow of ideation, AI generation, debugging, and review. This accelerates iteration, supports creativity, and lowers barriers to participation. However, professionals reported challenges of code unreliability, integration, and AI over-reliance. We find tensions between efficiency-driven prototyping ("intending the right design") and reflection ("designing the right intention"), introducing new asymmetries in trust, responsibility, and social stigma within teams. Through the lens of responsible human-AI collaboration for AI-assisted UX design and development, we contribute a deeper understanding of deskilling, ownership and disclosure, and creativity safeguarding in the age of vibe coding.

Yixuan Zhang, Ruihao Zhu, Qiaomin Xie

We study contextual online pricing with biased offline data. For the scalar price elasticity case, we identify the instance-dependent quantity $δ^2$ that measures how far the offline data lies from the (unknown) online optimum. We show that the time length $T$, bias bound $V$, size $N$ and dispersion $λ_{\min}(\hatΣ)$ of the offline data, and $δ^2$ jointly determine the statistical complexity. An Optimism-in-the-Face-of-Uncertainty (OFU) policy achieves a minimax-optimal, instance-dependent regret bound $\tilde{\mathcal{O}}\big(d\sqrt{T} \wedge (V^2T + \frac{dT}{λ_{\min}(\hatΣ) + (N \wedge T) δ^2})\big)$. For general price elasticity, we establish a worst-case, minimax-optimal rate $\tilde{\mathcal{O}}\big(d\sqrt{T} \wedge (V^2T + \frac{dT }{λ_{\min}(\hatΣ)})\big)$ and provide a generalized OFU algorithm that attains it. When the bias bound $V$ is unknown, we design a robust variant that always guarantees sub-linear regret and strictly improves on purely online methods whenever the exact bias is small. These results deliver the first tight regret guarantees for contextual pricing in the presence of biased offline data. Our techniques also transfer verbatim to stochastic linear bandits with biased offline data, yielding analogous bounds.

Weizhou Zhang, Chen Li, Hanzhang Qin et al.

In this paper, we investigate the performance of Thompson Sampling (TS) for online learning with censored feedback, focusing primarily on the classic repeated newsvendor model--a foundational framework in inventory management--and demonstrating how our techniques can be naturally extended to a broader class of problems. We model demand using a Weibull distribution and initialize TS with a Gamma prior to dynamically adjust order quantities. Our analysis establishes optimal (up to logarithmic factors) frequentist regret bounds for TS without imposing restrictive prior assumptions. More importantly, it yields novel and highly interpretable insights on how TS addresses the exploration-exploitation trade-off in the repeated newsvendor setting. Specifically, our results show that when past order quantities are sufficiently large to overcome censoring, TS accurately estimates the unknown demand parameters, leading to near-optimal ordering decisions. Conversely, when past orders are relatively small, TS automatically increases future order quantities to gather additional demand information. Extensive numerical simulations further demonstrate that TS outperforms more conservative and widely-used approaches such as online convex optimization, upper confidence bounds, and myopic Bayesian dynamic programming. This study also lays the foundation for exploring general online learning problems with censored feedback.

Qing Feng, Tianyi Ma, Ruihao Zhu

Motivated by the concept of satisficing in decision-making, we consider the problem of satisficing regret minimization in bandit optimization. In this setting, the learner aims at selecting satisficing arms (arms with mean reward exceeding a certain threshold value) as frequently as possible. The performance is measured by satisficing regret, which is the cumulative deficit of the chosen arm's mean reward compared to the threshold. We propose SELECT, a general algorithmic template for Satisficing REgret Minimization via SampLing and LowEr Confidence bound Testing, that attains constant expected satisficing regret for a wide variety of bandit optimization problems in the realizable case (i.e., a satisficing arm exists). As a complement, SELECT also enjoys the same (standard) regret guarantee as the oracle in the non-realizable case. To further ensure stability of the algorithm, we introduce SELECT-LITE that achieves a light-tailed satisficing regret distribution plus a constant expected satisficing regret in the realizable case and a sub-linear expected (standard) regret in the non-realizable case. Notably, SELECT-LITE can operate on learning oracles with heavy-tailed (standard) regret distribution. More importantly, our results reveal the surprising compatibility between constant expected satisficing regret and light-tailed satisficing regret distribution, which is in sharp contrast to the case of (standard) regret. Finally, we conduct numerical experiments to validate the performance of SELECT and SELECT-LITE on both synthetic datasets and a real-world dynamic pricing case study.

Ruihao Zhu, Branislav Kveton

Motivated by practical needs of experimentation and policy learning in online platforms, we study the problem of safe data collection. Specifically, our goal is to develop a logging policy that efficiently explores different actions to elicit information while achieving competitive reward with a baseline production policy. We first show that a common practice of mixing the production policy with randomized exploration, despite being safe, is sub-optimal in maximizing information gain. Then, we propose a safe optimal logging policy via a novel water-filling technique for the case when no side information about the actions' expected reward is available. We improve upon this design by considering side information and also extend our approaches to the linear contextual model to account for a large number of actions. Along the way, we analyze how our data logging policies impact errors in off(line)-policy learning and empirically validate the benefit of our design by conducting extensive numerical experiments with synthetic and MNIST datasets. To further demonstrate the generality of our approach, we also consider the safe online learning setting. By adaptively applying our techniques, we develop the Safe Phased-Elimination (SafePE) algorithm that can achieve optimal regret bound with only logarithmic number of policy updates.

Weichao Mao, Kaiqing Zhang, Ruihao Zhu et al.

We consider model-free reinforcement learning (RL) in non-stationary Markov decision processes. Both the reward functions and the state transition functions are allowed to vary arbitrarily over time as long as their cumulative variations do not exceed certain variation budgets. We propose Restarted Q-Learning with Upper Confidence Bounds (RestartQ-UCB), the first model-free algorithm for non-stationary RL, and show that it outperforms existing solutions in terms of dynamic regret. Specifically, RestartQ-UCB with Freedman-type bonus terms achieves a dynamic regret bound of $\widetilde{O}(S^{\frac{1}{3}} A^{\frac{1}{3}} Δ^{\frac{1}{3}} H T^{\frac{2}{3}})$, where $S$ and $A$ are the numbers of states and actions, respectively, $Δ>0$ is the variation budget, $H$ is the number of time steps per episode, and $T$ is the total number of time steps. We further present a parameter-free algorithm named Double-Restart Q-UCB that does not require prior knowledge of the variation budget. We show that our algorithms are \emph{nearly optimal} by establishing an information-theoretical lower bound of $Ω(S^{\frac{1}{3}} A^{\frac{1}{3}} Δ^{\frac{1}{3}} H^{\frac{2}{3}} T^{\frac{2}{3}})$, the first lower bound in non-stationary RL. Numerical experiments validate the advantages of RestartQ-UCB in terms of both cumulative rewards and computational efficiency. We demonstrate the power of our results in examples of multi-agent RL and inventory control across related products.

Wang Chi Cheung, David Simchi-Levi, Ruihao Zhu

We consider un-discounted reinforcement learning (RL) in Markov decision processes (MDPs) under drifting non-stationarity, i.e., both the reward and state transition distributions are allowed to evolve over time, as long as their respective total variations, quantified by suitable metrics, do not exceed certain variation budgets. We first develop the Sliding Window Upper-Confidence bound for Reinforcement Learning with Confidence Widening (SWUCRL2-CW) algorithm, and establish its dynamic regret bound when the variation budgets are known. In addition, we propose the Bandit-over-Reinforcement Learning (BORL) algorithm to adaptively tune the SWUCRL2-CW algorithm to achieve the same dynamic regret bound, but in a parameter-free manner, i.e., without knowing the variation budgets. Notably, learning non-stationary MDPs via the conventional optimistic exploration technique presents a unique challenge absent in existing (non-stationary) bandit learning settings. We overcome the challenge by a novel confidence widening technique that incorporates additional optimism.

Wang Chi Cheung, David Simchi-Levi, Ruihao Zhu

We consider un-discounted reinforcement learning (RL) in Markov decision processes (MDPs) under temporal drifts, ie, both the reward and state transition distributions are allowed to evolve over time, as long as their respective total variations, quantified by suitable metrics, do not exceed certain variation budgets. This setting captures the endogeneity, exogeneity, uncertainty, and partial feedback in sequential decision-making scenarios, and finds applications in vehicle remarketing and real-time bidding. We first develop the Sliding Window Upper-Confidence bound for Reinforcement Learning with Confidence Widening (SWUCRL2-CW) algorithm, and establish its dynamic regret bound when the variation budgets are known. In addition, we propose the Bandit-over-Reinforcement Learning (BORL) algorithm to adaptively tune the SWUCRL2-CW algorithm to achieve the same dynamic regret bound, but in a parameter-free manner, ie, without knowing the variation budgets. Finally, we conduct numerical experiments to show that our proposed algorithms achieve superior empirical performance compared to existing algorithms. Notably, the interplay between endogeneity and exogeneity presents a unique challenge, absent in existing (stationary and non-stationary) stochastic online learning settings, when we apply the conventional Optimism in Face of Uncertainty principle to design algorithms with provably low dynamic regret for RL in drifting MDPs. We overcome the challenge by a novel confidence widening technique that incorporates additional optimism into our learning algorithms to ensure low dynamic regret bounds. To extend our theoretical findings, we apply our framework to inventory control problems, and demonstrate how one can alternatively leverage special structures on the state transition distributions to bypass the difficulty in exploring time-varying environments.

Wang Chi Cheung, David Simchi-Levi, Ruihao Zhu

We introduce data-driven decision-making algorithms that achieve state-of-the-art \emph{dynamic regret} bounds for non-stationary bandit settings. These settings capture applications such as advertisement allocation, dynamic pricing, and traffic network routing in changing environments. We show how the difficulty posed by the (unknown \emph{a priori} and possibly adversarial) non-stationarity can be overcome by an unconventional marriage between stochastic and adversarial bandit learning algorithms. Our main contribution is a general algorithmic recipe for a wide variety of non-stationary bandit problems. Specifically, we design and analyze the sliding window-upper confidence bound algorithm that achieves the optimal dynamic regret bound for each of the settings when we know the respective underlying \emph{variation budget}, which quantifies the total amount of temporal variation of the latent environments. Boosted by the novel bandit-over-bandit framework that adapts to the latent changes, we can further enjoy the (nearly) optimal dynamic regret bounds in a (surprisingly) parameter-free manner. In addition to the classical exploration-exploitation trade-off, our algorithms leverage the power of the "forgetting principle" in the learning processes, which is vital in changing environments. Our extensive numerical experiments on both synthetic and real world online auto-loan datasets show that our proposed algorithms achieve superior empirical performance compared to existing algorithms.

Hamsa Bastani, David Simchi-Levi, Ruihao Zhu

We study the problem of learning shared structure \emph{across} a sequence of dynamic pricing experiments for related products. We consider a practical formulation where the unknown demand parameters for each product come from an unknown distribution (prior) that is shared across products. We then propose a meta dynamic pricing algorithm that learns this prior online while solving a sequence of Thompson sampling pricing experiments (each with horizon $T$) for $N$ different products. Our algorithm addresses two challenges: (i) balancing the need to learn the prior (\emph{meta-exploration}) with the need to leverage the estimated prior to achieve good performance (\emph{meta-exploitation}), and (ii) accounting for uncertainty in the estimated prior by appropriately "widening" the estimated prior as a function of its estimation error. We introduce a novel prior alignment technique to analyze the regret of Thompson sampling with a mis-specified prior, which may be of independent interest. Unlike prior-independent approaches, our algorithm's meta regret grows sublinearly in $N$, demonstrating that the price of an unknown prior in Thompson sampling can be negligible in experiment-rich environments (large $N$). Numerical experiments on synthetic and real auto loan data demonstrate that our algorithm significantly speeds up learning compared to prior-independent algorithms.

Ruihao Zhu, Eytan Modiano

We introduce efficient algorithms which achieve nearly optimal regrets for the problem of stochastic online shortest path routing with end-to-end feedback. The setting is a natural application of the combinatorial stochastic bandits problem, a special case of the linear stochastic bandits problem. We show how the difficulties posed by the large scale action set can be overcome by the networked structure of the action set. Our approach presents a novel connection between bandit learning and shortest path algorithms. Our main contribution is an adaptive exploration algorithm with nearly optimal instance-dependent regret for any directed acyclic network. We then modify it so that nearly optimal worst case regret is achieved simultaneously. Driven by the carefully designed Top-Two Comparison (TTC) technique, the algorithms are efficiently implementable. We further conduct extensive numerical experiments to show that our proposed algorithms not only achieve superior regret performances, but also reduce the runtime drastically.

Wang Chi Cheung, David Simchi-Levi, Ruihao Zhu

We introduce algorithms that achieve state-of-the-art \emph{dynamic regret} bounds for non-stationary linear stochastic bandit setting. It captures natural applications such as dynamic pricing and ads allocation in a changing environment. We show how the difficulty posed by the non-stationarity can be overcome by a novel marriage between stochastic and adversarial bandits learning algorithms. Defining $d,B_T,$ and $T$ as the problem dimension, the \emph{variation budget}, and the total time horizon, respectively, our main contributions are the tuned Sliding Window UCB (\texttt{SW-UCB}) algorithm with optimal $\widetilde{O}(d^{2/3}(B_T+1)^{1/3}T^{2/3})$ dynamic regret, and the tuning free bandit-over-bandit (\texttt{BOB}) framework built on top of the \texttt{SW-UCB} algorithm with best $\widetilde{O}(d^{2/3}(B_T+1)^{1/4}T^{3/4})$ dynamic regret.