Learning the distribution with largest mean: two bandit frameworks
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Abstract: Over the past few years, the multi-armed bandit model has become increasingly popular in the machine learning community, partly because of applications including online content optimization. This paper reviews two different sequential learning tasks that have been considered in the bandit literature ; they can be formulated as (sequentially) learning which distribution has the highest mean among a set of distributions, with some constraints on the learning process. For both of them (regret minimization and best arm identification) we present recent, asymptotically optimal algorithms. We compare the behaviors of the sampling rule of each algorithm as well as the complexity terms associated to each problem.
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Cited in
(9)- On the complexity of best-arm identification in multi-armed bandit models
- Active Learning in Multi-armed Bandits
- Learning the distribution with largest mean: two bandit frameworks
- Nonasymptotic sequential tests for overlapping hypotheses applied to near-optimal arm identification in bandit models
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- Response-adaptive randomization in clinical trials: from myths to practical considerations
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