Stochastic Multi-armed Bandits in Constant Space

25 Dec 2017David LiauEric PriceZhao SongGer Yang

We consider the stochastic bandit problem in the sublinear space setting, where one cannot record the win-loss record for all $K$ arms. We give an algorithm using $O(1)$ words of space with regret \[ \sum_{i=1}^{K}\frac{1}{\Delta_i}\log \frac{\Delta_i}{\Delta}\log T \] where $\Delta_i$ is the gap between the best arm and arm $i$ and $\Delta$ is the gap between the best and the second-best arms... (read more)

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