Cornell Center for Applied Mathematics Bill Sears Blitz

Probabilistic Decision-making

Under Uncertainty

Alexander Terenin

https://avt.im/ · @avt_im

Probabilistic Decision-making

Automatic explore-exploit tradeoff

Challenges

Some things I'm interested in:

  • Cost-aware problems
  • Multi-stage feedback
  • Multi-objective optimization
  • Adversarial objectives
  • Learning in games

Goals: theoretical guarantees and strong empirical performance

Thank you!

https://avt.im/· @avt_im

Z. Scully and A. Terenin. The Gittins Index: A Design Principle for Decision-Making Under Uncertainty. INFORMS Tutorials in Operations Research, 2025.

Q. Xie, R. Astudillo, P. Frazier, Z. Scully, and A. Terenin. Cost-aware Bayesian optimization via the Pandora's Box Gittins index. NeurIPS, 2024. INFORMS Data Mining Best Paper Finalist.

A. Terenin and J. Negrea. An Adversarial Analysis of Thompson Sampling for Full-information Online Learning: from Finite to Infinite Action Spaces. arXiv:2502.14790, 2025.