Online Learning of Rested and Restless Bandits

DOI10.1109/TIT.2012.2198613MaRDI QIDQ2989865zbMATH OpenOpenAlexFDO

Authors Cem Tekin, Mingyan Liu

Publication date 8 June 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.3508

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Rationality and learning in game theory (91A26) Probabilistic games; gambling (91A60)

Abstract: In this paper we study the online learning problem involving rested and restless multiarmed bandits with multiple plays. The system consists of a single player/user and a set of K finite-state discrete-time Markov chains (arms) with unknown state spaces and statistics. At each time step the player can play M arms. The objective of the user is to decide for each step which M of the K arms to play over a sequence of trials so as to maximize its long term reward. The restless multiarmed bandit is particularly relevant to the application of opportunistic spectrum access (OSA), where a (secondary) user has access to a set of K channels, each of time-varying condition as a result of random fading and/or certain primary users' activities.

Cited in

(6)

• An online algorithm for the risk-aware restless bandit
• A Survey of Preference-Based Online Learning with Bandit Algorithms
• Normal bandits of unknown means and variances
• Game of thrones: fully distributed learning for multiplayer bandits
• Interior-Point Methods for Full-Information and Bandit Online Learning
• On the sensitivity of restless bandits solutions to uncertainty in the models of the arms

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