Reward-Biased Maximum Likelihood Estimation for Linear Stochastic Bandits

• URL: http://arxiv.org/abs/2010.04091v1
• Date: Thu, 8 Oct 2020 16:17:53 GMT
• Title: Reward-Biased Maximum Likelihood Estimation for Linear Stochastic Bandits
• Authors: Yu-Heng Hung, Ping-Chun Hsieh, Xi Liu and P. R. Kumar
• Abstract summary: We develop novel index policies that we prove achieve order-optimality, and show that they achieve empirical performance competitive with the state-of-the-art benchmark methods. The new policies achieve this with low time per pull for linear bandits, and thereby resulting in both favorable regret as well as computational efficiency.
• Score: 16.042075861624056
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Modifying the reward-biased maximum likelihood method originally proposed in the adaptive control literature, we propose novel learning algorithms to handle the explore-exploit trade-off in linear bandits problems as well as generalized linear bandits problems. We develop novel index policies that we prove achieve order-optimality, and show that they achieve empirical performance competitive with the state-of-the-art benchmark methods in extensive experiments. The new policies achieve this with low computation time per pull for linear bandits, and thereby resulting in both favorable regret as well as computational efficiency.

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