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Efficient online decision-making in contextual bandits is challenging, as methods without informative priors often suffer from computational or statistical inefficiencies. In this work, we leverage pre-trained diffusion models as expressive priors to capture complex action dependencies and develop a practical algorithm that efficiently approximates posteriors under such priors, enabling both fast updates and sampling. Empirical results demonstrate the effectiveness and versatility of our approach across diverse contextual bandit settings.

Recent advances in generative artificial intelligence (GenAI) models have enabled the generation of personalized content that adapts to up-to-date user context. While personalized decision systems are often modeled using bandit formulations, the integration of GenAI introduces new structure into otherwise classical sequential learning problems. In GenAI-powered interventions, the agent selects a query, but the environment experiences a stochastic response drawn from the generative model. Standard bandit methods do not explicitly account for this structure, where actions influence rewards only through stochastic, observed treatments. We introduce generator-mediated bandit-Thompson sampling (GAMBITTS), a bandit approach designed for this action/treatment split, using mobile health interventions with large language model-generated text as a motivating case study. GAMBITTS explicitly models both the treatment and reward generation processes, using information in the delivered treatment to accelerate policy learning relative to standard methods. We establish regret bounds for GAMBITTS by decomposing sources of uncertainty in treatment and reward, identifying conditions where it achieves stronger guarantees than standard bandit approaches. In simulation studies, GAMBITTS consistently outperforms conventional algorithms by leveraging observed treatments to more accurately estimate expected rewards.

We propose an extension of Thompson sampling to optimization problems over function spaces where the objective is a known functional of an unknown operator's output. We assume that queries to the operator (such as running a high-fidelity simulator or physical experiment) are costly, while functional evaluations on the operator's output are inexpensive. Our algorithm employs a sample-then-optimize approach using neural operator surrogates. This strategy avoids explicit uncertainty quantification by treating trained neural operators as approximate samples from a Gaussian process (GP) posterior. We derive regret bounds and theoretical results connecting neural operators with GPs in infinite-dimensional settings.

Variance-dependent regret bounds have received increasing attention in recent studies on contextual bandits. However, most of these studies are focused on upper confidence bound (UCB)-based bandit algorithms, while sampling based bandit algorithms such as Thompson sampling are still understudied. The only exception is the `LinVDTS` algorithm (Xu et al., 2023), which is limited to linear reward function and its regret bound is not optimal with respect to the model dimension. In this paper, we present `FGTSVA`, a variance-aware Thompson Sampling algorithm for contextual bandits with general reward function with optimal regret bound. At the core of our analysis is an extension of the decoupling coefficient, a technique commonly used in the analysis of Feel-good Thompson sampling (FGTS) that reflects the complexity of the model space.

The Bayesian paradigm offers principled tools for sequential decision-making under uncertainty, but its reliance on a probabilistic model for all parameters can hinder the incorporation of complex structural constraints. We introduce a minimalist Bayesian framework that places a prior only on the location of the optimum, while eliminating nuisance parameters through profile likelihood. This yields a generalized posterior that naturally accommodates structural constraints. As a direct instantiation, we develop MINimalist Thompson Sampling (MINTS). For multi-armed bandits with mean constraints, we establish near-optimal non-asymptotic regret guarantees and sharp almost-sure asymptotic regret characterizations. In particular, MINTS attains the classical Lai--Robbins constant in the unstructured setting and automatically adapts to unimodal structure, achieving the sharp constant determined only by the immediate neighbors of the optimal arm.

We study inventory control with decision-dependent censoring, focusing on the censored or repeated newsvendor (R-NV), where each order quantity determines whether demand is fully observed or censored by sales. Existing approaches based on parametric Thompson sampling (TS) can be brittle under prior mismatch, while offline imputation methods need not transfer to online learning. Motivated by the predictive view of decision making, we combine these ideas by taking oracle actions on learned completions of latent demand. We propose in-context generative posterior sampling (ICGPS), which uses modern generative models that are meta-trained offline and deployed online by in-context autoregressive generation. Theoretically, we show that the Bayesian regret of ICGPS with a learned completion kernel is bounded by the Bayesian regret of a TS benchmark with the ideal completion kernel plus a deployment penalty scaling as $\sqrt{T}$ times the square root of the completion mismatch. This yields a plug-in template for operational problems with known TS regret bounds. For R-NV, we derive sublinear Bayesian regret by reducing censored feedback to bandit convex optimization feedback. We also show that, under reasonable coverage and stability assumptions, the online completion mismatch is controlled by the offline censored predictive mismatch, so offline predictive quality transfers to online performance. Practically, we instantiate ICGPS with ChronosFlow, which combines a frozen time-series transformer backbone with a trainable conditional normalizing-flow head for fast censoring-consistent sampling. In benchmark experiments, ChronosFlow-ICGPS matches correctly specified TS, outperforms myopic and UCB-style baselines, and is robust to prior mismatch and distribution shift. ChronosFlow-ICGPS also performs well for the real-world SuperStore dataset, especially under heavy censoring.

Modern Bayesian optimization and adaptive sampling methods increasingly rely on nonlinear parametric models, yet theoretical guarantees for such models under adaptive data collection remain limited. Existing analyses largely focus on Gaussian processes, kernel machines, linear models, or linearized neural approximations, leaving a gap between theory and the nonlinear models used in practice. We develop a kernel-based framework for analyzing regularized nonlinear parametric models trained on adaptively collected data. Our approach uses kernels over the parameter space to induce reproducing-kernel Hilbert space structures over the corresponding model class, yielding confidence bounds for models trained with broad classes of regularized convex losses. We show how these bounds can support convergence guarantees for nonlinear acquisition and surrogate models, including randomized regularized policies that select points by maximizing a trained random model. These results provide a unified route to analyzing nonlinear parametric models in Bayesian optimization and related adaptive optimization settings.

Adaptive experimentation under unknown network interference requires solving two coupled problems: (i) learning the underlying dynamics of interference among units and (ii) using these dynamics to inform treatment allocation in order to maximize a cumulative outcome of interest (e.g. revenue). Existing adaptive experimentation methods either assume the interference network is fully known or bypass the network by operating on coarse cluster-level randomizations. We develop a Thompson sampling algorithm that jointly learns the interference network and adaptively optimizes individual-level treatment allocations via a Gibbs sampler. The algorithm returns both an optimized treatment policy and an estimate of the interference network; the latter supports downstream causal analyses such as estimation of direct, indirect, and total treatment effects. For additive spillover models, we show that total reward is linear in the treatment vector with coefficients given by an $n$-dimensional latent score. We prove a Bayesian regret bound of order $\sqrt{nT \cdot B \log(en/B)}$ for exact posterior sampling; empirically, our Gibbs-based approximate sampler achieves regret consistent with this rate and remains sublinear when the additive spillovers assumption is violated. For general Neighborhood Interference, where this reduction is unavailable, we analyze an explore-then-commit variant with $O(n^2 \log T)$ graph-discovery cost. An information-theoretic $Ω(n \log T)$ lower bound complements both results. Empirically, our method achieves more than an order-of-magnitude reduction in regret in head-to-head comparisons. On two real-world networks, the algorithm achieves sublinear regret and yields downstream effect estimates with small RMSE relative to the truth.

A unifying theme in the design of intelligent agents is to efficiently optimize a policy based on what prior knowledge of the problem is available and what actions can be taken to learn more about it. Bandits are a canonical instance of this task that has been intensely studied in the literature. Most methods, however, typically rely solely on an agent's experimentation in a single environment (or multiple closely related environments). In this paper, we relax this assumption and consider the design of bandit algorithms from a combination of batch data and qualitative assumptions about the relatedness across different environments, represented in the form of causal models. In particular, we show that it is possible to exploit invariances across environments, wherever they may occur in the underlying causal model, to consistently improve learning. The resulting bandit algorithm has a sub-linear regret bound with an explicit dependency on a term that captures how informative related environments are for the task at hand; and may have substantially lower regret than experimentation-only bandit instances.