Discrepancy-Based Algorithms for Non-Stationary Rested Bandits

29 Oct 2017Corinna CortesGiulia DeSalvoVitaly KuznetsovMehryar MohriScott Yang

We study the multi-armed bandit problem where the rewards are realizations of general non-stationary stochastic processes, a setting that generalizes many existing lines of work and analyses. In particular, we present a theoretical analysis and derive regret guarantees for rested bandits in which the reward distribution of each arm changes only when we pull that arm... (read more)

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