The KL-UCB Algorithm for Bounded Stochastic Bandits and Beyond

author: Aurélien Garivier, CNRS - LTCI UMR 5141 Telecom ParisTech
published: Aug. 2, 2011,   recorded: July 2011,   views: 3714
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This paper presents a finite-time analysis of the KL-UCB algorithm, an online, horizon-free index policy for stochastic bandit problems. We prove two distinct results: first, for arbitrary bounded rewards, the KL-UCB algorithm satis fies a uniformly better regret bound than UCB and its variants; second, in the special case of Bernoulli rewards, it reaches the lower bound of Lai and Robbins. Furthermore, we show that simple adaptations of the KL-UCB algorithm are also optimal for specifi c classes of (possibly unbounded) rewards, including those generated from exponential families of distributions. A large-scale numerical study comparing KL-UCB with its main competitors (UCB, MOSS, UCB-Tuned, UCB-V, DMED) shows that KL-UCB is remarkably efficient and stable, including for short time horizons. KL-UCB is also the only method that always performs better than the basic UCB policy. Our regret bounds rely on deviations results of independent interest which are stated and proved in the Appendix. As a by-product, we also obtain an improved regret bound for the standard UCB algorithm.

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