Adaptive Stratified Sampling for Monte-Carlo integration of Differentiable functions

We consider the problem of adaptive stratified sampling for Monte Carlo integration of a differentiable function given a finite number of evaluations to the function. We construct a sampling scheme that samples more often in regions where the function oscillates more, while allocating the samples such that they are well spread on the domain (this notion shares similitude with low discrepancy). We prove that the estimate returned by the algorithm is almost similarly accurate as the estimate that an optimal oracle strategy (that would know the variations of the function everywhere) would return, and provide a finite-sample analysis.Comment: 23 pages, 3 figures, to appear in NIPS 2012 conference proceeding

Simple regret for infinitely many armed bandits

We consider a stochastic bandit problem with infinitely many arms. In this setting, the learner has no chance of trying all the arms even once and has to dedicate its limited number of samples only to a certain number of arms. All previous algorithms for this setting were designed for minimizing the cumulative regret of the learner. In this paper, we propose an algorithm aiming at minimizing the simple regret. As in the cumulative regret setting of infinitely many armed bandits, the rate of the simple regret will depend on a parameter $\beta$ characterizing the distribution of the near-optimal arms. We prove that depending on $\beta$, our algorithm is minimax optimal either up to a multiplicative constant or up to a $\log(n)$ factor. We also provide extensions to several important cases: when $\beta$ is unknown, in a natural setting where the near-optimal arms have a small variance, and in the case of unknown time horizon.Comment: in 32th International Conference on Machine Learning (ICML 2015

Bandit Theory meets Compressed Sensing for high dimensional Stochastic Linear Bandit

We consider a linear stochastic bandit problem where the dimension $K$ of the unknown parameter $\theta$ is larger than the sampling budget $n$. In such cases, it is in general impossible to derive sub-linear regret bounds since usual linear bandit algorithms have a regret in $O(K\sqrt{n})$. In this paper we assume that $\theta$ is $S-$sparse, i.e. has at most $S-$non-zero components, and that the space of arms is the unit ball for the $||.||_2$ norm. We combine ideas from Compressed Sensing and Bandit Theory and derive algorithms with regret bounds in $O(S\sqrt{n})$

On the informativeness of dominant and co-dominant genetic markers for Bayesian supervised clustering

We study the accuracy of Bayesian supervised method used to cluster individuals into genetically homogeneous groups on the basis of dominant or codominant molecular markers. We provide a formula relating an error criterion the number of loci used and the number of clusters. This formula is exact and holds for arbitrary number of clusters and markers. Our work suggests that dominant markers studies can achieve an accuracy similar to that of codominant markers studies if the number of markers used in the former is about 1.7 times larger than in the latter