Kullback-Leibler upper confidence bounds for optimal sequential allocation
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Publication:366995
DOI10.1214/13-AOS1119zbMATH Open1293.62161arXiv1210.1136OpenAlexW3100329718MaRDI QIDQ366995FDOQ366995
Rémi Munos, Odalric-Ambrym Maillard, Olivier Cappé, Gilles Stoltz, Aurélien Garivier
Publication date: 25 September 2013
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We consider optimal sequential allocation in the context of the so-called stochastic multi-armed bandit model. We describe a generic index policy, in the sense of Gittins [J. R. Stat. Soc. Ser. B Stat. Methodol. 41 (1979) 148-177], based on upper confidence bounds of the arm payoffs computed using the Kullback-Leibler divergence. We consider two classes of distributions for which instances of this general idea are analyzed: the kl-UCB algorithm is designed for one-parameter exponential families and the empirical KL-UCB algorithm for bounded and finitely supported distributions. Our main contribution is a unified finite-time analysis of the regret of these algorithms that asymptotically matches the lower bounds of Lai and Robbins [Adv. in Appl. Math. 6 (1985) 4-22] and Burnetas and Katehakis [Adv. in Appl. Math. 17 (1996) 122-142], respectively. We also investigate the behavior of these algorithms when used with general bounded rewards, showing in particular that they provide significant improvements over the state-of-the-art.
Full work available at URL: https://arxiv.org/abs/1210.1136
Learning and adaptive systems in artificial intelligence (68T05) Sequential statistical analysis (62L10) Sequential estimation (62L12)
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