Tight Regret Bounds for Noisy Optimization of a Brownian Motion.

Zexin Wang Vincent Y. F. Tan Jonathan Scarlett

Published in: IEEE Trans. Signal Process. (2022)

Keyphrases

brownian motion
differential equations
optimal control
diffusion process
poisson process
lower bound
upper bound
stochastic process
learning algorithm
constrained optimization
multi class
steady state
linear regression
heavy traffic
regret bounds