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

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

2011-05-23

arxiv.org/abs/1105.4585v1

Computer Science

Learning

On-line Trading of Exploration and Exploitation 2 - ICML-2011 workshop. http://explo.cs.ucl.ac.uk/workshop/

Scientific paper

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.

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