Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
133 tokens/sec
GPT-4o
7 tokens/sec
Gemini 2.5 Pro Pro
46 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Correlated bandits or: How to minimize mean-squared error online (1902.02953v2)

Published 8 Feb 2019 in cs.LG and stat.ML

Abstract: While the objective in traditional multi-armed bandit problems is to find the arm with the highest mean, in many settings, finding an arm that best captures information about other arms is of interest. This objective, however, requires learning the underlying correlation structure and not just the means of the arms. Sensors placement for industrial surveillance and cellular network monitoring are a few applications, where the underlying correlation structure plays an important role. Motivated by such applications, we formulate the correlated bandit problem, where the objective is to find the arm with the lowest mean-squared error (MSE) in estimating all the arms. To this end, we derive first an MSE estimator, based on sample variances and covariances, and show that our estimator exponentially concentrates around the true MSE. Under a best-arm identification framework, we propose a successive rejects type algorithm and provide bounds on the probability of error in identifying the best arm. Using minmax theory, we also derive fundamental performance limits for the correlated bandit problem.

Citations (5)

Summary

We haven't generated a summary for this paper yet.