Abstract: Large language models (LLMs) have shown impressive capabilities in real-world applications. The capability of *in-context learning* (ICL) allows us to adapt an LLM to downstream tasks by including input-label exemplars in the prompt without model fine-tuning. However, the quality of these exemplars in the prompt greatly impacts performance, highlighting the need for an effective automated exemplar selection method. Recent studies have explored retrieval-based approaches to select exemplars tailored to individual test queries, which can be undesirable due to extra test-time computation and an increased risk of data exposure. Moreover, existing methods fail to adequately account for the impact of exemplar ordering on the performance. On the other hand, the impact of the *instruction*, another essential component in the prompt given to the LLM, is often overlooked in existing exemplar selection methods. To address these challenges, we propose a novel method named $\texttt{EASE}$, which leverages the hidden embedding from a pre-trained language model to represent ordered sets of exemplars and uses a neural bandit algorithm to optimize the sets of exemplars *while accounting for exemplar ordering*. Our $\texttt{EASE}$ can efficiently find an ordered set of exemplars that *performs well for all test queries* from a given task, thereby eliminating test-time computation. Importantly, $\texttt{EASE}$ can be readily extended to *jointly optimize both the exemplars and the instruction*. Through extensive empirical evaluations (including novel tasks), we demonstrate the superiority of $\texttt{EASE}$ over existing methods, and reveal practical insights about the impact of exemplar selection on ICL, which may be of independent interest. Our code is available at https://github.com/ZhaoxuanWu/EASE-Prompt-Optimization.