PAC-Bayesian Analysis of the Exploration-Exploitation Trade-off

Seldin, Y.; Cesa-Bianchi, N.; Laviolette, F.; Auer, P.; Shawe-Taylor, J.; Peters, J.

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PAC-Bayesian Analysis of the Exploration-Exploitation Trade-off

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Seldin, Y.
Dept. Empirical Inference, Max Planck Institute for Intelligent Systems, Max Planck Society;

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Peters, J.
Dept. Empirical Inference, Max Planck Institute for Intelligent Systems, Max Planck Society;

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Citation

Seldin, Y., Cesa-Bianchi, N., Laviolette, F., Auer, P., Shawe-Taylor, J., & Peters, J. (2011). PAC-Bayesian Analysis of the Exploration-Exploitation Trade-off. In ICML 2011 Workshop on Online Trading of Exploration and Exploitation 2 (pp. 1-8).

Cite as: https://hdl.handle.net/11858/00-001M-0000-0010-4CA5-6

Abstract

We develop a coherent framework for integrative simultaneous analysis of the exploration-exploitation and model order selection trade-offs. We improve over our preceding results on the same subject (Seldin et al., 2011) by combining PAC-Bayesian analysis with Bernstein-type inequality for martingales. Such a combination is also of independent interest for studies of multiple simultaneously evolving martingales.