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arXiv · 1411.2919

Bounded Regret for Finite-Armed Structured Bandits

Tor Lattimore·Remi Munos
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Abstract

We study a new type of K-armed bandit problem where the expected return of one arm may depend on the returns of other arms. We present a new algorithm for this general class of problems and show that under certain circumstances it is possible to achieve finite expected cumulative regret. We also give problem-dependent lower bounds on the cumulative regret showing that at least in special cases the new algorithm is nearly optimal.

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Tor Lattimore, Remi Munos. 2014-11-11. Bounded Regret for Finite-Armed Structured Bandits. https://arxiv.org/abs/1411.2919

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