NIPS Proceedingsβ

A Scale Free Algorithm for Stochastic Bandits with Bounded Kurtosis

Part of: Advances in Neural Information Processing Systems 30 (NIPS 2017) pre-proceedings

Pre-Proceedings

[PDF] [BibTeX] [Supplemental] [Reviews]

Authors

Conference Event Type: Poster

Abstract

Existing strategies for finite-armed stochastic bandits mostly depend on a parameter of scale that must be known in advance. Sometimes this is in the form of a bound on the payoffs, or the knowledge of a variance or subgaussian parameter. The notable exceptions are the analysis of Gaussian bandits with unknown mean and variance by Cowan and Katehakis [2015a] and of uniform distributions with unknown support [Cowan and Katehakis, 2015b]. The results derived in these specialised cases are generalised here to the non-parametric setup, where the learner knows only a bound on the kurtosis of the noise, which is a scale free measure of the extremity of outliers.