PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Upper confidence bounds algorithms for active learning in multi-armed bandits
Alexandra Carpentier, Mohammad Ghavamzadeh, Alessandro Lazaric, Rémi Munos and Peter Auer
ALT 2011 2011.


In this paper, we study the problem of estimating the mean values of all the arms uniformly well in the multi-armed bandit setting. If the variances of the arms were known, one could design an optimal sampling strategy by pulling the arms proportionally to their variances. However, since the distributions are not known in advance, we need to design adaptive sampling strategies to select an arm at each round based on the previous observed samples. We describe two strategies based on pulling the arms proportionally to an upper-bound on their variance and derive regret bounds for these strategies. We show that the performance of these allocation strategies depends not only on the variances of the arms but also on the full shape of their distribution

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
ID Code:8988
Deposited By:Rémi Munos
Deposited On:21 February 2012