Continuum armed bandit problem of few variables in high dimensions

21 Apr 2013 Hemant Tyagi Bernd Gärtner

We consider the stochastic and adversarial settings of continuum armed bandits where the arms are indexed by [0,1]^d. The reward functions r:[0,1]^d -> R are assumed to intrinsically depend on at most k coordinate variables implying r(x_1,..,x_d) = g(x_{i_1},..,x_{i_k}) for distinct and unknown i_1,..,i_k from {1,..,d} and some locally Holder continuous g:[0,1]^k -> R with exponent 0 < alpha <= 1... (read more)

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