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Conference Paper

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

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http://pubman.mpdl.mpg.de/cone/persons/resource/persons84206

Seldin,  Y
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;

http://pubman.mpdl.mpg.de/cone/persons/resource/persons84135

Peters,  J
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;
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: http://hdl.handle.net/11858/00-001M-0000-0013-BB28-1
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.