Imprecise Multi-Armed Bandits

arXiv:2405.05673v1 Announce Type: new
Abstract: We introduce a novel multi-armed bandit framework, where each arm is associated with a fixed unknown credal set over the space of outcomes (which can be richer than just the reward). The arm-to-credal-set correspondence comes from a known class of hypotheses. We then define a notion of regret corresponding to the lower prevision defined by these credal sets. Equivalently, the setting can be regarded as a two-player zero-sum game, where, on each round, the agent …

abstract arm arxiv class credal cs.lg framework multi-armed bandits notion novel set space stat.ml type