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Tight Regret Bounds for Noisy Optimization of a Brownian Motion.
Zexin Wang
Vincent Y. F. Tan
Jonathan Scarlett
Published in:
CoRR (2020)
Keyphrases
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brownian motion
stochastic process
differential equations
optimal control
regret bounds
lower bound
diffusion process
stochastic processes
upper bound
heavy traffic
vector valued
poisson process
learning algorithm
support vector machine
closed form
closed form solutions