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Ecole Nationale de la Statistique et de l'Administration Economique

Academic institutioneurope · fr
Official website
Research library75linked papers
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Selected work

Representative Papers

Kernel Methods for Refined Prophet Inequalities

Aug 09, 2026

This work addresses the performance degradation of the classical single-threshold strategy in single-choice prophet inequalities under ill-behaved distributions by introducing a relative variance constraint on the maximum as a nonparametric complexity measure. It pioneers the application of kernel methods to this domain, constructing a linear functional optimization framework over quantile function spaces. By establishing a strong minimax duality and leveraging infinite-dimensional convex programming alongside variational analysis, the paper precisely characterizes the optimal threshold under bounded variance conditions. Key contributions include an exact performance curve under the i.i.d. setting, an asymptotically optimal threshold for finite horizons, closed-form solutions for non-i.i.d. cases, and a rigorous separation of the performance bounds between the prophet-secretary model and the i.i.d. benchmark.

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On-Policy and Off-Policy Learning for Large Action Spaces

Jul 30, 2026

This work addresses the challenges of policy learning in contextual bandits with extremely large action spaces, where inefficient exploration, high variance of importance weights, and optimization difficulties commonly arise. To improve exploration efficiency in online settings, the authors propose two approaches—mixed-effects Thompson Sampling (meTS) and diffusion Thompson Sampling (dTS)—that explicitly model dependencies among actions. For offline settings, they introduce a latent-variable-based method, sDM, which integrates a differentiable pessimism mechanism with a concave policy-weighted log-likelihood objective to mitigate extrapolation bias and variance issues. Theoretical analysis yields regret bounds that scale with the effective number of actions, and empirical results demonstrate that the proposed methods significantly enhance both stability and performance of policy learning in large action spaces.

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Recent publications

Latest Papers

Kernel Methods for Refined Prophet Inequalities

Aug 09, 2026

This work addresses the performance degradation of the classical single-threshold strategy in single-choice prophet inequalities under ill-behaved distributions by introducing a relative variance constraint on the maximum as a nonparametric complexity measure. It pioneers the application of kernel methods to this domain, constructing a linear functional optimization framework over quantile function spaces. By establishing a strong minimax duality and leveraging infinite-dimensional convex programming alongside variational analysis, the paper precisely characterizes the optimal threshold under bounded variance conditions. Key contributions include an exact performance curve under the i.i.d. setting, an asymptotically optimal threshold for finite horizons, closed-form solutions for non-i.i.d. cases, and a rigorous separation of the performance bounds between the prophet-secretary model and the i.i.d. benchmark.

0 citationsRead paper

On-Policy and Off-Policy Learning for Large Action Spaces

Jul 30, 2026

This work addresses the challenges of policy learning in contextual bandits with extremely large action spaces, where inefficient exploration, high variance of importance weights, and optimization difficulties commonly arise. To improve exploration efficiency in online settings, the authors propose two approaches—mixed-effects Thompson Sampling (meTS) and diffusion Thompson Sampling (dTS)—that explicitly model dependencies among actions. For offline settings, they introduce a latent-variable-based method, sDM, which integrates a differentiable pessimism mechanism with a concave policy-weighted log-likelihood objective to mitigate extrapolation bias and variance issues. Theoretical analysis yields regret bounds that scale with the effective number of actions, and empirical results demonstrate that the proposed methods significantly enhance both stability and performance of policy learning in large action spaces.

0 citationsRead paper