Richard Combes - Linear Bandits on Ellipsoids: Minimax Optimal Algorithms
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YouTubeInstitut des Hautes Etudes Scientifiques (IHES)
Richard Combes - Linear Bandits on Ellipsoids: Minimax Optimal Algorithms
We consider linear stochastic bandits where the set of actions is an ellipsoid. We provide the first known minimax optimal algorithm for this problem. We first derive a novel information-theoretic lower bound on the regret of any algorithm, which must be at least $\Omega(\min(d \sigma \sqrt{T} + d \|\theta\|_{A}, \|\theta\|_{A} T))$ where $d ...
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