An improved parametrization and analysis of the EXP3++ algorithm for stochastic and adversarial bandits

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We present a new strategy for gap estimation in randomized algorithms for multiarmed bandits and combine it with the EXP3++ algorithm of Seldin and Slivkins (2014). In the stochastic regime the strategy reduces dependence of regret on a time horizon from $(ln t)^3$ to $(ln t)^2$ and eliminates an additive factor of order $\Delta e^{\Delta^2}$, where $\Delta$ is the minimal gap of a problem instance. In the adversarial regime regret guarantee remains unchanged.
Original languageEnglish
Title of host publicationProceedings of Conference on Learning Theory, 7-10 July 2017, Amsterdam, Netherlands
EditorsSatyen Kale, Ohad Shamir
PublisherProceedings of Machine Learning Research
Publication date2017
Pages1743-1759
Publication statusPublished - 2017
EventThe 30th Annual Conference on Learning Theory (COLT) - Amsterdam, Netherlands
Duration: 7 Jul 201710 Jul 2017
Conference number: 30
http://www.learningtheory.org/colt2017/

Conference

ConferenceThe 30th Annual Conference on Learning Theory (COLT)
Nummer30
LandNetherlands
ByAmsterdam
Periode07/07/201710/07/2017
Internetadresse
SeriesProceedings of Machine Learning Research
Volume65
ISSN1938-7228

ID: 197766233