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