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  1. Home
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  3. Bandit Algorithms
  • Cited by 520
Publisher:
Cambridge University Press
Online publication date:
July 2020
Print publication year:
2020
Online ISBN:
9781108571401
DOI:
https://doi.org/10.1017/9781108571401
Subjects:
Engineering, Computer Science, Pattern Recognition and Machine Learning, Control Systems and Optimisation
Information

Book description

Decision-making in the face of uncertainty is a significant challenge in machine learning, and the multi-armed bandit model is a commonly used framework to address it. This comprehensive and rigorous introduction to the multi-armed bandit problem examines all the major settings, including stochastic, adversarial, and Bayesian frameworks. A focus on both mathematical intuition and carefully worked proofs makes this an excellent reference for established researchers and a helpful resource for graduate students in computer science, engineering, statistics, applied mathematics and economics. Linear bandits receive special attention as one of the most useful models in applications, while other chapters are dedicated to combinatorial bandits, ranking, non-stationary problems, Thompson sampling and pure exploration. The book ends with a peek into the world beyond bandits with an introduction to partial monitoring and learning in Markov decision processes.

Reviews

'This year marks the 68th anniversary of ‘multi-armed bandits’ introduced by Herbert Robbins in 1952, and the 35th anniversary of his 1985 paper with me that advanced multi-armed bandit theory in new directions via the concept of ‘regret’ and a sharp asymptotic lower bound for the regret. This vibrant subject has attracted important multidisciplinary developments and applications. Bandit Algorithms gives it a comprehensive and up-to-date treatment, and meets the need for such books in instruction and research in the subject, as in a new course on contextual bandits and recommendation technology that I am developing at Stanford.'

Tze L. Lai - Stanford University

'This is a timely book on the theory of multi-armed bandits, covering a very broad range of basic and advanced topics. The rigorous treatment combined with intuition makes it an ideal resource for anyone interested in the mathematical and algorithmic foundations of a fascinating and rapidly growing field of research.'

Nicolò Cesa-Bianchi - University of Milan

'The field of bandit algorithms, in its modern form, and driven by prominent new applications, has been taking off in multiple directions. The book by Lattimore and Szepesvári is a timely contribution that will become a standard reference on the subject. The book offers a thorough exposition of an enormous amount of material, neatly organized in digestible pieces. It is mathematically rigorous, but also pleasant to read, rich in intuition and historical notes, and without superfluous details. Highly recommended.'

John Tsitsiklis - Massachusetts Institute of Technology

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Contents

Page 1 of 2

Contents
  • 1 - Introduction
    pp 3-11
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