On Kernelized Multi-armed Bandits

ICML 2017 Sayak Ray ChowdhuryAditya Gopalan

We consider the stochastic bandit problem with a continuous set of arms, with the expected reward function over the arms assumed to be fixed but unknown. We provide two new Gaussian process-based algorithms for continuous bandit optimization-Improved GP-UCB (IGP-UCB) and GP-Thomson sampling (GP-TS), and derive corresponding regret bounds... (read more)

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