# Category Archives: Optimization

## Kernel-based methods for convex bandits, part 3

(This post absolutely requires to have read Part 1 and Part 2.) A key assumption at the end of Part 1 was that, after rescaling space so that the current exponential weights distribution is isotropic, one has (1)   for … Continue reading

## Kernel-based methods for convex bandits, part 2

The goal of this second lecture is to explain how to do the variance calculation we talked about at the end of Part 1 for the case where the exponential weights distribution is non-Gaussian. We will lose here a factor … Continue reading

## Kernel-based methods for bandit convex optimization, part 1

A month ago Ronen Eldan, Yin Tat Lee and myself posted our latest work on bandit convex optimization. I’m quite happy with the result (first polynomial time method with poly(dimension)-regret) but I’m even more excited by the techniques we developed. Next … Continue reading

## Notes on least-squares, part II

As promised at the end of Part I, I will give some intuition for the Bach and Moulines analysis of constant step size SGD for least-squares. Let us recall the setting. Let be a pair of random variables with where … Continue reading

## Bandit theory, part II

These are the lecture notes for the second part of my minicourse on bandit theory (see here for Part 1). The linear bandit problem, Auer [2002] We will mostly study the following far-reaching extension of the -armed bandit problem. Known … Continue reading

Posted in Optimization, Probability theory | 4 Comments

## Bandit theory, part I

This week I’m giving two 90 minutes lectures on bandit theory at MLSS Cadiz. Despite my 2012 survey with Nicolo I thought it would be a good idea to post my lectures notes here. Indeed while much of the material … Continue reading

Posted in Optimization, Probability theory | 5 Comments

## Notes on least-squares, part I

These are mainly notes for myself, but I figured that they might be of interest to some of the blog readers too. Comments on what is written below are most welcome! Let be a pair of random variables, and let … Continue reading

Posted in Optimization | 3 Comments

## Convex Optimization: Algorithms and Complexity

I am thrilled to announce that my short introduction to convex optimization has just came out in the Foundations and Trends in Machine Learning series (free version on arxiv). This project started on this blog in 2013 with the lecture notes “The … Continue reading