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Further Optimal Regret Bounds for Thompson Sampling
Further Optimal Regret Bounds Thompson Sampling
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2012/11/23
Thompson Sampling is one of the oldest heuristics for multi-armed bandit problems. It is a randomized algorithm based on Bayesian ideas, and has recently generated significant interest after several s...
A Stochastic View of Optimal Regret through Minimax Duality
Stochastic View Optimal Regret Minimax Duality
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2010/3/19
We study the regret of optimal strategies for online convex optimization games. Using von Neumann's minimax theorem, we show that the optimal regret in this adversarial setting is closely related to t...