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Thesis

Stochastic control approach to the multi-armed bandit problems

Abstract:

A multi-armed bandit is the simplest problem to study learning under uncertainty when decisions affect information. A standard approach to the multi-armed bandit often gives a heuristic construction of an algorithm and proves its regret bound. Following a constructive approach, it is often possible to find a scenario where following heuristic approaches gives a poor decision.

In this thesis, we consider solving the multi-armed bandit problem from first principles, in terms of stoch...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Sub department:
Mathematical Institute
Research group:
Mathematical finance
Oxford college:
Mansfield College
Role:
Author
ORCID:
0000-0001-7611-4328

Contributors

Role:
Supervisor
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Programme:
The Development and Promotion of Science and Technology talented project
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Language:
English
Keywords:
Subjects:
Deposit date:
2021-07-01

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