The Symmetry between Arms and Knapsacks: A Primal-Dual Approach for Bandits with Knapsacks

12 Feb 2021 Xiaocheng Li Chunlin Sun Yinyu Ye

In this paper, we study the bandits with knapsacks (BwK) problem and develop a primal-dual based algorithm that achieves a problem-dependent logarithmic regret bound. The BwK problem extends the multi-arm bandit (MAB) problem to model the resource consumption associated with playing each arm, and the existing BwK literature has been mainly focused on deriving asymptotically optimal distribution-free regret bounds... (read more)

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