Pure exploration for max-quantile bandits

Yahel David, Nahum Shimkin

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

We consider a variant of the pure exploration problem in Multi-Armed Bandits, where the goal is to find the arm for which the λ-quantile is maximal. Within the PAC framework, we provide a lower bound on the sample complexity of any (ϵ, δ)-correct algorithm, and propose algorithms with matching upper bounds. Our bounds sharpen existing ones by explicitly incorporating the quantile factor λ. We further provide experiments that compare the sample complexity of our algorithms with that of previous works.

Original languageEnglish
Title of host publicationMachine Learning and Knowledge Discovery in Databases - European Conference, ECML PKDD 2016, Proceedings
EditorsJilles Giuseppe, Niels Landwehr, Giuseppe Manco, Paolo Frasconi
Pages556-571
Number of pages16
DOIs
StatePublished - 2016
Event15th European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, ECML PKDD 2016 - Riva del Garda, Italy
Duration: 19 Sep 201623 Sep 2016

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume9851 LNAI

Conference

Conference15th European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, ECML PKDD 2016
Country/TerritoryItaly
CityRiva del Garda
Period19/09/1623/09/16

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • General Computer Science

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