Yuhang Wu

Henry Lam, Kaizheng Wang, Yuhang Wu et al.

We study the problem of multi-task non-smooth optimization that arises ubiquitously in statistical learning, decision-making and risk management. We develop a data fusion approach that adaptively leverages commonalities among a large number of objectives to improve sample efficiency while tackling their unknown heterogeneities. We provide sharp statistical guarantees for our approach. Numerical experiments on both synthetic and real data demonstrate significant advantages of our approach over benchmarks.

Yuhang Wu, Zeyu Zheng, Tingyu Zhu

We formulate, analyze and solve the problem of best arm identification with fairness constraints on subpopulations (BAICS). Standard best arm identification problems aim at selecting an arm that has the largest expected reward where the expectation is taken over the entire population. The BAICS problem requires that an selected arm must be fair to all subpopulations (e.g., different ethnic groups, age groups, or customer types) by satisfying constraints that the expected reward conditional on every subpopulation needs to be larger than some thresholds. The BAICS problem aims at correctly identify, with high confidence, the arm with the largest expected reward from all arms that satisfy subpopulation constraints. We analyze the complexity of the BAICS problem by proving a best achievable lower bound on the sample complexity with closed-form representation. We then design an algorithm and prove that the algorithm's sample complexity matches with the lower bound in terms of order. A brief account of numerical experiments are conducted to illustrate the theoretical findings.