Regret Analysis of the Anytime Optimally Confident UCB Algorithm

Tor Lattimore

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arXiv · 1603.08661

Regret Analysis of the Anytime Optimally Confident UCB Algorithm

Tor Lattimore

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Abstract

I introduce and analyse an anytime version of the Optimally Confident UCB (OCUCB) algorithm designed for minimising the cumulative regret in finite-armed stochastic bandits with subgaussian noise. The new algorithm is simple, intuitive (in hindsight) and comes with the strongest finite-time regret guarantees for a horizon-free algorithm so far. I also show a finite-time lower bound that nearly matches the upper bound.

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Tor Lattimore. 2016-03-29. Regret Analysis of the Anytime Optimally Confident UCB Algorithm. https://arxiv.org/abs/1603.08661

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