arXiv subjects

Aurélien Garivier

Publications and source records attributed to Aurélien Garivier.

57 records · Page 4Linked to original sources

arXiv2009

Regret Bounds for Opportunistic Channel Access

We consider the task of opportunistic channel access in a primary system composed of independent Gilbert-Elliot channels where the secondary (or opportunistic) user does not dispose of a priori information regarding the statistical characteristics of the system. It is shown that this problem may be cast into the framework of model-based learning in a specific class of Partially Observed Markov Decision Processes (POMDPs) for which we introduce an algorithm aimed at striking an optimal tradeoff between the exploration (or estimation) and exploitation requirements. We provide finite horizon regret bounds for this algorithm as well as a numerical evaluation of its performance in the single channel model as well as in the case of stochastically identical channels.

stat.ML↗

arXiv2008

On Upper-Confidence Bound Policies for Non-Stationary Bandit Problems

Multi-armed bandit problems are considered as a paradigm of the trade-off between exploring the environment to find profitable actions and exploiting what is already known. In the stationary case, the distributions of the rewards do not change in time, Upper-Confidence Bound (UCB) policies have been shown to be rate optimal. A challenging variant of the MABP is the non-stationary bandit problem where the gambler must decide which arm to play while facing the possibility of a changing environment. In this paper, we consider the situation where the distributions of rewards remain constant over epochs and change at unknown time instants. We analyze two algorithms: the discounted UCB and the sliding-window UCB. We establish for these two algorithms an upper-bound for the expected regret by upper-bounding the expectation of the number of times a suboptimal arm is played. For that purpose, we derive a Hoeffding type inequality for self normalized deviations with a random number of summands. We establish a lower-bound for the regret in presence of abrupt changes in the arms reward distributions. We show that the discounted UCB and the sliding-window UCB both match the lower-bound up to a logarithmic factor.

math.ST↗

arXiv2008

Coding on countably infinite alphabets

This paper describes universal lossless coding strategies for compressing sources on countably infinite alphabets. Classes of memoryless sources defined by an envelope condition on the marginal distribution provide benchmarks for coding techniques originating from the theory of universal coding over finite alphabets. We prove general upper-bounds on minimax regret and lower-bounds on minimax redundancy for such source classes. The general upper bounds emphasize the role of the Normalized Maximum Likelihood codes with respect to minimax regret in the infinite alphabet context. Lower bounds are derived by tailoring sharp bounds on the redundancy of Krichevsky-Trofimov coders for sources over finite alphabets. Up to logarithmic (resp. constant) factors the bounds are matching for source classes defined by algebraically declining (resp. exponentially vanishing) envelopes. Effective and (almost) adaptive coding techniques are described for the collection of source classes defined by algebraically vanishing envelopes. Those results extend ourknowledge concerning universal coding to contexts where the key tools from parametric inference

math.ST↗