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PAC-Bayesian Analysis of the Exploration-Exploitation Trade-off

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arxiv 1105.4585 v1 pith:WLCKRBUD submitted 2011-05-23 cs.LG stat.ML

Yevgeny Seldin , Nicolò Cesa-Bianchi , François Laviolette , Peter Auer , John Shawe-Taylor , Jan Peters This is my paper · ORCID
classification cs.LGstat.ML
keywords analysisexploration-exploitationmartingalespac-bayesianbernstein-typecoherentcombinationcombining
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We develop a coherent framework for integrative simultaneous analysis of the exploration-exploitation and model order selection trade-offs. We improve over our preceding results on the same subject (Seldin et al., 2011) by combining PAC-Bayesian analysis with Bernstein-type inequality for martingales. Such a combination is also of independent interest for studies of multiple simultaneously evolving martingales.

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