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We introduce GLR-klUCB, a novel algorithm for the piecewise iid non-stationary bandit problem with bounded rewards.
On the Likelihood that One Unknown Probability Exceeds Another in View of the Evidence of Two Samples
W. R. Thompson · 1933
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The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
S.S. Wilks · 1938
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Some Aspects of the Sequential Design of Experiments
H. Robbins · 1952
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Detection of Abrupt Changes: Theory And Application , volume 104
M. Basseville, I. Nikiforov, et al · 1993
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Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change Point
D. Siegmund and E.S. Venkatraman · 1995
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Parametric statistical change point analysis
Chen Jie and AK Gupta · 2000
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Multi-Armed Bandit, Dynamic Environments and Meta-Bandits
C. Hartland, S. Gelly, N. Baskiotis, O. Teytaud, and M. Sebag · 2006
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Discounted UCB
L. Kocsis and C. Szepesvári · 2006
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Inference for change point and post change means after a CUSUM test , volume 180
Yanhong Wu · 2007
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Piecewise-Stationary Bandit Problems with Side Observations
J. Y. Yu and S. Mannor · 2009
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Regret Bounds And Minimax Policies Under Partial Monitoring
J-Y. Audibert and S. Bubeck · 2010
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UCB revisited: Improved regret bounds for the stochastic multi-armed bandit problem
Peter Auer and Ronald Ortner · 2010
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Sequential change-point detection when the pre-and post-change parameters are unknown
T.Z. Lai and H. Xing · 2010
Cited alongside, same era.
A Contextual-Bandit Approach to Personalized News Article Recommendation
L. Li, W. Chu, J. Langford, and R. E. Schapire · 2010
Cited alongside, same era.
On Upper-Confidence Bound Policies For Switching Bandit Problems
A. Garivier and E. Moulines · 2011
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Concentration Inequalities: A Nonasymptotic Theory of Independence
S. Boucheron, G. Lugosi, and P. Massart · 2013
Cited alongside, same era.
Kullback-Leibler Upper Confidence Bounds For Optimal Sequential Allocation
O. Cappé, A. Garivier, O-A. Maillard, R. Munos, and G. Stoltz · 2013
Cited alongside, same era.
Thompson Sampling in Switching Environments with Bayesian Online Change Detection
J. Mellor and J. Shapiro · 2013
Taming Non-Stationary Bandits: a Bayesian Approach
V. Raj and S. Kalyani · 2017
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Mixture Martingales Revisited with Applications to Sequential Tests and Confidence Intervals
E. Kaufmann and W.M. Koolen · 2018
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Node-based optimization of LoRa transmissions with Multi-Armed Bandit algorithms
R. Kerkouche, R. Alami, R. Féraud, N. Varsier, and P. Maillé · 2018
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A Change-Detection based Framework for Piecewise-stationary Multi-Armed Bandit Problem
F. Liu, J. Lee, and N. Shroff · 2018
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On Abruptly-Changing and Slowly-Varying Multiarmed Bandit Problems
L. Wei and V. Srivastava · 2018
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Stochastic Multi-Armed Bandit Problem with Non-Stationary Rewards
O. Besbes, Y. Gur, and A. Zeevi · 2014
Cited alongside, same era.
Exp3 with Drift Detection for the Switching Bandit Problem
R. Allesiardo and R. Féraud · 2015
Cited alongside, same era.
Multi-Armed Bandits with Application to 5G Small Cells
S. Maghsudi and E. Hossain · 2016
Cited alongside, same era.
Memory Bandits: Towards the Switching Bandit Problem Best Resolution
Reda Alami, Odalric-Ambrym Maillard, and Raphael Féraud · 2017
Cited alongside, same era.
The Non-Stationary Stochastic Multi-Armed Bandit Problem
R. Allesiardo, R. Féraud, and O.-A. Maillard · 2017
Cited alongside, same era.
Multi-Armed Bandit Learning in IoT Networks: Learning helps even in non-stationary settings
R. Bonnefoi, L. Besson, C. Moy, E. Kaufmann, and J. Palicot · 2017
Cited alongside, same era.
Nearly Optimal Adaptive Procedure for Piecewise-Stationary Bandit: a Change-Point Detection Approach
Y. Cao, W. Zheng, B. Kveton, and Y. Xie · 2019
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A new algorithm for non-stationary contextual bandits: Efficient, optimal, and parameter-free
Yifang Chen, Chung-Wei Lee, Haipeng Luo, and Chen-Yu Wei · 2019
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Learning to optimize under non-stationarity
Wang Chi Cheung, David Simchi-Levi, and Ruihao Zhu · 2019
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Bandit Algorithms
T. Lattimore and C. Szepesvári · 2019
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Sequential change-point detection: Laplace concentration of scan statistics and non-asymptotic delay bounds
O.-A. Maillard · 2019
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Distribution-dependent and time-uniform bounds for piecewise i.i.d bandits
Subhojyoti Mukherjee and Odalric-Ambrym Maillard · 2019
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A single algorithm for both restless and rested rotting bandits
Julien Seznec, Pierre Ménard, Alessandro Lazaric, and Michal Valko · 2020
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