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CORR
2010
Springer

Combinatorial Network Optimization with Unknown Variables: Multi-Armed Bandits with Linear Rewards

8 years 6 days ago
Combinatorial Network Optimization with Unknown Variables: Multi-Armed Bandits with Linear Rewards
In the classic multi-armed bandits problem, the goal is to have a policy for dynamically operating arms that each yield stochastic rewards with unknown means. The key metric of interest is regret, defined as the gap between the expected total reward accumulated by an omniscient player that knows the reward means for each arm, and the expected total reward accumulated by the given policy. The policies presented in prior work have storage, computation and regret all growing linearly with the number of arms, which is not scalable when the number of arms is large. We consider in this work a broad class of multiarmed bandits with dependent arms that yield rewards as a linear combination of a set of unknown parameters. For this general framework, we present efficient policies that are shown to achieve regret that grows logarithmically with time, and polynomially in the number of unknown parameters (even though the number of dependent arms may grow exponentially). Furthermore, these policies ...
Yi Gai, Bhaskar Krishnamachari, Rahul Jain
Added 14 May 2011
Updated 14 May 2011
Type Journal
Year 2010
Where CORR
Authors Yi Gai, Bhaskar Krishnamachari, Rahul Jain
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