Regret Analysis of the Anytime Optimally Confident UCB Algorithm

29 Mar 2016Tor Lattimore

I introduce and analyse an anytime version of the Optimally Confident UCB (OCUCB) algorithm designed for minimising the cumulative regret in finite-armed stochastic bandits with subgaussian noise. The new algorithm is simple, intuitive (in hindsight) and comes with the strongest finite-time regret guarantees for a horizon-free algorithm so far... (read more)

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