English

Regional Multi-Armed Bandits

Machine Learning 2018-02-23 v1 Machine Learning

Abstract

We consider a variant of the classic multi-armed bandit problem where the expected reward of each arm is a function of an unknown parameter. The arms are divided into different groups, each of which has a common parameter. Therefore, when the player selects an arm at each time slot, information of other arms in the same group is also revealed. This regional bandit model naturally bridges the non-informative bandit setting where the player can only learn the chosen arm, and the global bandit model where sampling one arms reveals information of all arms. We propose an efficient algorithm, UCB-g, that solves the regional bandit problem by combining the Upper Confidence Bound (UCB) and greedy principles. Both parameter-dependent and parameter-free regret upper bounds are derived. We also establish a matching lower bound, which proves the order-optimality of UCB-g. Moreover, we propose SW-UCB-g, which is an extension of UCB-g for a non-stationary environment where the parameters slowly vary over time.

Keywords

Cite

@article{arxiv.1802.07917,
  title  = {Regional Multi-Armed Bandits},
  author = {Zhiyang Wang and Ruida Zhou and Cong Shen},
  journal= {arXiv preprint arXiv:1802.07917},
  year   = {2018}
}

Comments

AISTATS 2018

R2 v1 2026-06-23T00:29:44.624Z