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The Epoch-Greedy Algorithm for Multi-armed Bandits with Side Information
John Langford · Tong Zhang

Mon Dec 03 10:30 AM -- 10:40 AM (PST) @
We present Epoch-Greedy, an algorithm for multi-armed bandits with observable side information. Epoch-Greedy has the following properties: No knowledge of a time horizon $T$ is necessary. The regret incurred by Epoch-Greedy is controlled by a sample complexity bound for a hypothesis class. The regret scales as $O(T^{2/3} S^{1/3})$ or better (sometimes, much better). Here $S$ is the complexity term in a sample complexity bound for standard supervised learning.

Author Information

John Langford (Microsoft Research)

John Langford is a machine learning research scientist, a field which he says "is shifting from an academic discipline to an industrial tool". He is the author of the weblog hunch.net and the principal developer of Vowpal Wabbit. John works at Microsoft Research New York, of which he was one of the founding members, and was previously affiliated with Yahoo! Research, Toyota Technological Institute, and IBM's Watson Research Center. He studied Physics and Computer Science at the California Institute of Technology, earning a double bachelor's degree in 1997, and received his Ph.D. in Computer Science from Carnegie Mellon University in 2002. He was the program co-chair for the 2012 International Conference on Machine Learning.

Tong Zhang (The Hong Kong University of Science and Technology)

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