Multi-armed Bandit, Dynamic Environments and Meta-Bandits

Abstract

This paper presents the Adapt-EvE algorithm, extending the UCBT online learning algorithm (Auer et al. 2002) to abruptly changing environments. Adapt-EvE features an adaptive change-point detection test based on Page-Hinkley statistics, and two alternative xtra-exploration procedures respectively based on smooth-restart and Meta-Bandits.