On Bayesian index policies for sequential resource allocation

Understand

This paper is about index policies for minimizing (frequentist) regret in a stochastic multi-armed bandit model, inspired by a Bayesian view on the problem.

• Our main contribution is to prove that the Bayes-UCB algorithm, which relies on quantiles of posterior distributions, is asymptotically optimal when the reward distributions belong to a one-dimensional exponential family, for a large class of prior distributions.
• We also show that the Bayesian literature gives new insight on what kind of exploration rates could be used in frequentist, UCB-type algorithms.
• Indeed, approximations of the Bayesian optimal solution or the Finite Horizon Gittins indices provide a justification for the kl-UCB+ and kl-UCB-H+ algorithms, whose asymptotic optimality is also established.