图 书 馆
线性随机带的改进算法Improved Algorithms for Linear Stochastic Bandits |
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| 课程网址: | http://videolectures.net/nips2011_abbasi_yadkori_stochastic/ |
| 主讲教师: | Yasin Abbasi-Yadkori |
| 开课单位: | 阿尔伯塔大学 |
| 开课时间: | 2012-09-06 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | We improve the theoretical analysis and empirical performance of algorithms for the stochastic multi-armed bandit problem and the linear stochastic multi-armed bandit problem. In particular, we show that a simple modification of Auer’s UCB algorithm (Auer, 2002) achieves with high probability constant regret. More importantly, we modify and, consequently, improve the analysis of the algorithm for the for linear stochastic bandit problem studied by Auer (2002), Dani et al. (2008), Rusmevichientong and Tsitsiklis (2010), Li et al. (2010). Our modification improves the regret bound by a logarithmic factor, though experiments show a vast improvement. In both cases, the improvement stems from the construction of smaller confidence sets. For their construction we use a novel tail inequality for vector-valued martingales. |
| 关 键 词: | 随机多臂强盗问题; 置信区间; 矢量值鞅 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-07-26：cwx |
| 阅读次数: | 104 |