A simple multi-armed bandit algorithm with optimal variation-bounded regret

author: Elad Hazan, Technion - Israel Institute of Technology
published: Aug. 2, 2011,   recorded: July 2011,   views: 4643


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We pose the question of whether it is possible to design a simple, linear-time algorithm for the basic multi-armed bandit problem in the adversarial setting which has a regret bound of O(√QlogT), where Q is the total quadratic variation of all the arms.

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