English

Parametrized Stochastic Multi-armed Bandits with Binary Rewards

Machine Learning 2011-11-21 v1

Abstract

In this paper, we consider the problem of multi-armed bandits with a large, possibly infinite number of correlated arms. We assume that the arms have Bernoulli distributed rewards, independent across time, where the probabilities of success are parametrized by known attribute vectors for each arm, as well as an unknown preference vector, each of dimension nn. For this model, we seek an algorithm with a total regret that is sub-linear in time and independent of the number of arms. We present such an algorithm, which we call the Two-Phase Algorithm, and analyze its performance. We show upper bounds on the total regret which applies uniformly in time, for both the finite and infinite arm cases. The asymptotics of the finite arm bound show that for any fω(log(T))f \in \omega(\log(T)), the total regret can be made to be O(nf(T))O(n \cdot f(T)). In the infinite arm case, the total regret is O(n3T)O(\sqrt{n^3 T}).

Keywords

Cite

@article{arxiv.1111.4460,
  title  = {Parametrized Stochastic Multi-armed Bandits with Binary Rewards},
  author = {Chong Jiang and R. Srikant},
  journal= {arXiv preprint arXiv:1111.4460},
  year   = {2011}
}

Comments

10 pages, 3 figures

R2 v1 2026-06-21T19:38:18.968Z