Batched bandit problems
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Abstract: Motivated by practical applications, chiefly clinical trials, we study the regret achievable for stochastic bandits under the constraint that the employed policy must split trials into a small number of batches. We propose a simple policy, and show that a very small number of batches gives close to minimax optimal regret bounds. As a byproduct, we derive optimal policies with low switching cost for stochastic bandits.
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Cites work
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Cited in
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- Online learning of energy consumption for navigation of electric vehicles
- Customization of J. Bather's UCB strategy for a Gaussian multiarmed bandit
- Bypassing the Monster: A Faster and Simpler Optimal Algorithm for Contextual Bandits Under Realizability
- Gaussian two-armed bandit: limiting description
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- Greedy Algorithm Almost Dominates in Smoothed Contextual Bandits
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