文章链接：http://www-bcf.usc.edu/~haipengl/courses/CSCI699/lecture14.pdf
- 这篇讲义主要介绍了Stochastic MAB 的一些基本概念，有很多数学公式及证明，如果要从数学角度理解细节和推敲，可以参考。
- 第一部分将Stochastic MAB的基本概念，讲解了pesudo-regret。
- 第二部分 2 First Attempt: Explore-then-exploit 一种基本思想，引出了bound。
- 第三部分 3 The UCB Algorithm, 讲义中实际中讨论的Lower Bound，思想与UCB对称。
内容与读过的几篇高度重叠，只作部分摘录：
Stochastic Multi-armed Bandit
Pseudo-regret
Pseudo-regret is the expected regret against the fixed action (instead of the empirically best actiontion, where the expectation is over the randomness of both the environment and the algorithm.
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Pseudo-regret can be simplified as:
Simpified pseudo-regret -
pseudo-regret of UCB is bounded as:
pseudo-regret bound
Symbols
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:each action
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:Distribution
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: Independent samples of
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: action
: Optimal action on terms of the expected lossEmpirically best
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: the suboptiomal gap of action a
- The number of times action a has been pulled up to round t
