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Activity Number: 622
Type: Invited
Date/Time: Thursday, August 13, 2015 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract #314374
Title: Batched Bandits
Author(s): Philippe Rigollet* and Vianney Perchet and Sylvain Chassang and Erik Snowberg
Companies: MIT and University Paris 7 and Princeton University and California Institute of Technology
Keywords: Multi-armed bandits ; Clinical trials
Abstract:

Motivated by practical applications, chiefly clinical trials, we study the regret achievable for stochastic multi-armed bandits under the constraint that the employed policy must split trials into a small number of batches. Our results show that a very small number of batches gives already close to minimax optimal regret bounds and we also evaluate the number of trials in each batch. As a byproduct, we derive optimal policies with low switching cost for stochastic bandits.


Authors who are presenting talks have a * after their name.

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