Regret Lower Bound and Optimal Algorithm in Dueling Bandit Problem

Junpei Komiyama,J. Honda,H. Kashima,H. Nakagawa

Published 2015 in Annual Conference Computational Learning Theory

ABSTRACT

We study the $K$-armed dueling bandit problem, a variation of the standard stochastic bandit problem where the feedback is limited to relative comparisons of a pair of arms. We introduce a tight asymptotic regret lower bound that is based on the information divergence. An algorithm that is inspired by the Deterministic Minimum Empirical Divergence algorithm (Honda and Takemura, 2010) is proposed, and its regret is analyzed. The proposed algorithm is found to be the first one with a regret upper bound that matches the lower bound. Experimental comparisons of dueling bandit algorithms show that the proposed algorithm significantly outperforms existing ones.

PUBLICATION RECORD

  • Publication year

    2015

  • Venue

    Annual Conference Computational Learning Theory

  • Publication date

    2015-06-08

  • Fields of study

    Mathematics, Computer Science

  • Identifiers
  • External record

    Open on Semantic Scholar

  • Source metadata

    Semantic Scholar

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