Mathematics of statistical sequential decision-making: concentration, risk-awareness and modelling in stochastic bandits, with applications to bariatric surgery

Patrick Saux

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arXiv · 2405.01994

Mathematics of statistical sequential decision-making: concentration, risk-awareness and modelling in stochastic bandits, with applications to bariatric surgery

Patrick Saux

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Abstract

This thesis aims to study some of the mathematical challenges that arise in the analysis of statistical sequential decision-making algorithms for postoperative patients follow-up. Stochastic bandits (multiarmed, contextual) model the learning of a sequence of actions (policy) by an agent in an uncertain environment in order to maximise observed rewards. To learn optimal policies, bandit algorithms have to balance the exploitation of current knowledge and the exploration of uncertain actions. Such algorithms have largely been studied and deployed in industrial applications with large datasets, low-risk decisions and clear modelling assumptions, such as clickthrough rate maximisation in online advertising. By contrast, digital health recommendations call for a whole new paradigm of small samples, risk-averse agents and complex, nonparametric modelling. To this end, we developed new safe, anytime-valid concentration bounds, (Bregman, empirical Chernoff), introduced a new framework for risk-aware contextual bandits (with elicitable risk measures) and analysed a novel class of nonparametric bandit algorithms under weak assumptions (Dirichlet sampling). In addition to the theoretical guarantees, these results are supported by in-depth empirical evidence. Finally, as a first step towards personalised postoperative follow-up recommendations, we developed with medical doctors and surgeons an interpretable machine learning model to predict the long-term weight trajectories of patients after bariatric surgery.

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Patrick Saux. 2024-05-03. Mathematics of statistical sequential decision-making: concentration, risk-awareness and modelling in stochastic bandits, with applications to bariatric surgery. https://arxiv.org/abs/2405.01994

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