Max-Min Grouped Bandits

  title={Max-Min Grouped Bandits},
  author={Zhenling Wang and John Scarlett},
In this paper, we introduce a multi-armed bandit problem termed max-min grouped bandits, in which the arms are arranged in possibly-overlapping groups, and the goal is to find a group whose worst arm has the highest mean reward. This problem is of interest in applications such as recommendation systems, and is also closely related to widely-studied robust optimization problems. We present two algorithms based successive elimination and robust optimization, and derive upper bounds on the number… 

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