Using confidence bounds for exploitation-exploration trade-offs

We show how a standard tool from statistics — namely confidence bounds — can be used to elegantly deal with situations which exhibit an exploitation-exploration trade-off. Our technique for designing and analyzing algorithms for such situations is general and can be applied when an algorithm has to make exploitation-versus-exploration decisions based on uncertain information provided by a random process. We apply our technique to two models with such an exploitation-exploration trade-off. For the adversarial bandit problem with shifting our new algorithm suffers only Õ � (ST) 1/2� regret with high probability over T trials with S shifts. Such a regret bound was previously known only in expectation. The second…