A minimax and asymptotically optimal algorithm for stochastic bandits - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2017

A minimax and asymptotically optimal algorithm for stochastic bandits

Résumé

We propose the kl-UCB ++ algorithm for regret minimization in stochastic bandit models with exponential families of distributions. We prove that it is simultaneously asymptotically optimal (in the sense of Lai and Robbins' lower bound) and minimax optimal. This is the first algorithm proved to enjoy these two properties at the same time. This work thus merges two different lines of research, with simple proofs involving no complexity overhead.
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Dates et versions

hal-01475078 , version 1 (23-02-2017)
hal-01475078 , version 2 (19-09-2017)

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Citer

Pierre Ménard, Aurélien Garivier. A minimax and asymptotically optimal algorithm for stochastic bandits. 2017. ⟨hal-01475078v1⟩
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