The multi-armed bandit problem: an efficient nonparametric solution

DOI10.1214/19-AOS1809MaRDI QIDQ2176624zbMATH OpenOpenAlexFDO

Authors Hock Peng Chan

Publication date 5 May 2020

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.08285, https://projecteuclid.org/euclid.aos/1581930138

zbMATH Keywords

efficiencysubsamplingThompson samplingKL-UCBupper confidence bound (UCB)

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Sequential statistical design (62L05) Compound decision problems in statistical decision theory (62C25) Optimal stopping in statistics (62L15)

Abstract: Lai and Robbins (1985) and Lai (1987) provided efficient parametric solutions to the multi-armed bandit problem, showing that arm allocation via upper confidence bounds (UCB) achieves minimum regret. These bounds are constructed from the Kullback-Leibler information of the reward distributions, estimated from specified parametric families. In recent years there has been renewed interest in the multi-armed bandit problem due to new applications in machine learning algorithms and data analytics. Non-parametric arm allocation procedures like $epsilon$-greedy, Boltzmann exploration and BESA were studied, and modified versions of the UCB procedure were also analyzed under non-parametric settings. However unlike UCB these non-parametric procedures are not efficient under general parametric settings. In this paper we propose efficient non-parametric procedures.

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Cited in

(16)

• Adaptive Algorithm for Multi-Armed Bandit Problem with High-Dimensional Covariates
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• A Structured Multiarmed Bandit Problem and the Greedy Policy
• Nonstochastic Multi-Armed Bandits with Graph-Structured Feedback
• Implicitly normalized forecaster with clipping for linear and non-linear heavy-tailed multi-armed bandits
• On Solving Finite State Multi-Armed Bandit Problem by Linear Programming
• Polynomial-Time Algorithms for Multiple-Arm Identification with Full-Bandit Feedback
• Infinite Arms Bandit: Optimality via Confidence Bounds
• A comparative study of ad hoc techniques and evolutionary methods for multi-armed bandit problems
• On the bias, risk, and consistency of sample means in multi-armed bandits
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• Optimal exploration-exploitation in a multi-armed bandit problem with non-stationary rewards
• A non-parametric solution to the multi-armed bandit problem with covariates

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