Combinatorial Bandits

@article{CesaBianchi2009CombinatorialB,
  title={Combinatorial Bandits},
  author={Nicol{\`o} Cesa-Bianchi and G{\'a}bor Lugosi},
  journal={J. Comput. Syst. Sci.},
  year={2009},
  volume={78},
  pages={1404-1422}
}
We study sequential prediction problems in which, at each time instance, the forecaster chooses a vector from a given finite set S ⊆ R. At the same time, the opponent chooses a “loss” vector in R and the forecaster suffers a loss that is the inner product of the two vectors. The goal of the forecaster is to achieve that, in the long run, the accumulated loss is not much larger than that of the best possible element in S. We consider the “bandit” setting in which the forecaster only has access… CONTINUE READING
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