I am Sebastien Bubeck, researcher in the Theory Group at Microsoft Research. My main research interests lie in the mathematics of machine learning and sequential decision making. One of the simplest (yet surprisingly rich) problem in sequential decision making is the so-called multi-armed bandit. I have devoted a fair amount of my research to this problem (hence the title of the blog!). If you want to learn more about this topic you can check this book co-authored with Nicolò Cesa-Bianchi. A large fraction of the posts on this blog have been on optimization, and this has resulted in another short book “Convex Optimization: Algorithms and Complexity”.
This blog is about various topics that I find interesting, essentially in optimization, probability and statistics.