An efficient bandit algorithm for general weight assignments
Kozat, Süleyman Serdar
Proceedings of the IEEE 25th Signal Processing and Communications Applications Conference, SIU 2017
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In this paper, we study the adversarial multi armed bandit problem and present a generally implementable efficient bandit arm selection structure. Since we do not have any statistical assumptions on the bandit arm losses, the results in the paper are guaranteed to hold in an individual sequence manner. The introduced framework is able to achieve the optimal regret bounds by employing general weight assignments on bandit arm selection sequences. Hence, this framework can be used for a wide range of applications.
KeywordsAdversarial multi-armed bandit
Multi-armed bandit problem