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.
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
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- Publication year
2015
- Venue
Annual Conference Computational Learning Theory
- Publication date
2015-06-08
- Fields of study
Mathematics, Computer Science
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