Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems

Multi-armed bandit problems are the most basic examples of sequential decision problems with an exploration–exploitation trade-off. This is the balance between staying with the option that gave highest payoffs in the past and exploring new options that might give higher payoffs in the future. Although the study of bandit problems dates back to the 1930s, exploration–exploitation trade-offs arise in several modern applications, such as ad placement, website optimization, and packet routing. Mathematically, a multi-armed bandit is defined by the payoffs process associated with each option. In this monograph, we focus on two extreme cases in which the analysis of regret is particularly simple and elegant: i.i.d.…