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arXiv · 1105.4585

PAC-Bayesian Analysis of the Exploration-Exploitation Trade-off

Yevgeny Seldin·Nicolò Cesa-Bianchi·François Laviolette·Peter Auer·John Shawe-Taylor·Jan Peters
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Abstract

We develop a coherent framework for integrative simultaneous analysis of the exploration-exploitation and model order selection trade-offs. We improve over our preceding results on the same subject (Seldin et al., 2011) by combining PAC-Bayesian analysis with Bernstein-type inequality for martingales. Such a combination is also of independent interest for studies of multiple simultaneously evolving martingales.

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Yevgeny Seldin, Nicolò Cesa-Bianchi, François Laviolette, Peter Auer, John Shawe-Taylor, Jan Peters. 2011-05-23. PAC-Bayesian Analysis of the Exploration-Exploitation Trade-off. https://arxiv.org/abs/1105.4585

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