Exploration by Optimisation in Partial Monitoring

Tor Lattimore; Csaba Szepesvari

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arXiv · 1907.05772

Exploration by Optimisation in Partial Monitoring

Tor Lattimore·Csaba Szepesvari

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Abstract

We provide a simple and efficient algorithm for adversarial $k$-action $d$-outcome non-degenerate locally observable partial monitoring game for which the $n$-round minimax regret is bounded by $6(d+1) k^{3/2} \sqrt{n \log(k)}$, matching the best known information-theoretic upper bound. The same algorithm also achieves near-optimal regret for full information, bandit and globally observable games.

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Tor Lattimore, Csaba Szepesvari. 2019-10-25. Exploration by Optimisation in Partial Monitoring. https://arxiv.org/abs/1907.05772

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