Latent Preference Bandits

Bandit algorithms are guaranteed to solve diverse sequential decision-making problems, provided that a sufficient exploration budget is available. However, learning from scratch is often too costly for personalization tasks where a single individual faces only a small number of decision points. Latent bandits offer substantially reduced exploration times for such problems, given that the joint distribution of a latent state and the rewards of actions is known and accurate. In practice, finding such a model is non-trivial, and there may not exist a small number of latent states that explain the responses of all individuals. For example, patients with similar latent conditions may have the same preference in treatments but rate their symptoms on different scales. With this in mind, we propose relaxing the assumptions of latent bandits to require only a model of the \emph{preference ordering} of actions in each latent state. This allows problem instances with the same latent state to vary in their reward distributions, as long as their preference orderings are equal. We give a posterior-sampling algorithm for this problem and demonstrate that its empirical performance is competitive with latent bandits that have full knowledge of the reward distribution when this is well-specified, and outperforms them when reward scales differ between instances with the same latent state.

Prediction Models That Learn to Avoid Missing Values

Handling missing values at test time is challenging for machine learning models, especially when aiming for both high accuracy and interpretability. Established approaches often add bias through imputation or excessive model complexity via missingness indicators. Moreover, either method can obscure interpretability, making it harder to understand how the model utilizes the observed variables in predictions. We propose missingness-avoiding (MA) machine learning, a general framework for training models to rarely require the values of missing (or imputed) features at test time. We create tailored MA learning algorithms for decision trees, tree ensembles, and sparse linear models by incorporating classifier-specific regularization terms in their learning objectives. The tree-based models leverage contextual missingness by reducing reliance on missing values based on the observed context. Experiments on real-world datasets demonstrate that MA-DT, MA-LASSO, MA-RF, and MA-GBT effectively reduce the reliance on features with missing values while maintaining predictive performance competitive with their unregularized counterparts. This shows that our framework gives practitioners a powerful tool to maintain interpretability in predictions with test-time missing values.