In recent decades, machine learning and industrial statistics have moved closer to each other. CQM, a consultancy company, performs projects in supply chains, logistics, and industrial R&D that often involve building prediction models using techniques from machine learning. For these models, challenges persist, e.g. if the dataset is small, has a group structure, or is a time series. At the...
This work formulates model selection as an infinite-armed bandit problem, namely, a problem in which a decision maker iteratively selects one of an infinite number of fixed choices (i.e., arms) when the properties of each choice are only partially known at the time of allocation and may become better understood over time, via the attainment of rewards.
Here, the arms are machine learning...