Mixture Martingales Revisited with Applications to Sequential Tests and Confidence Intervals

28 Nov 2018Emilie KaufmannWouter Koolen

This paper presents new deviation inequalities that are valid uniformly in time under adaptive sampling in a multi-armed bandit model. The deviations are measured using the Kullback-Leibler divergence in a given one-dimensional exponential family, and may take into account several arms at a time... (read more)

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