Corpus ID: 211818094

Model Selection in Contextual Stochastic Bandit Problems

@article{Pacchiano2020ModelSI,
  title={Model Selection in Contextual Stochastic Bandit Problems},
  author={Aldo Pacchiano and My Phan and Yasin Abbasi-Yadkori and A. Rao and Julian Zimmert and Tor Lattimore and Csaba Szepesvari},
  journal={ArXiv},
  year={2020},
  volume={abs/2003.01704}
}

• Aldo Pacchiano, My Phan, +4 authors Csaba Szepesvari
• Published 2020
• Computer Science, Mathematics
• ArXiv

We study model selection in stochastic bandit problems. Our approach relies on a master algorithm that selects its actions among candidate base algorithms. While this problem is studied for specific classes of stochastic base algorithms, our objective is to provide a method that can work with more general classes of stochastic base algorithms. We propose a master algorithm inspired by CORRAL \cite{DBLP:conf/colt/AgarwalLNS17} and introduce a novel and generic smoothing transformation for… Expand

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