One Good Source is All You Need: Near-Optimal Regret for Bandits under Heterogeneous Noise

Amith Bhat, Haipeng Luo, Aadirupa Saha

We study $K$-armed Multiarmed Bandit (MAB) problem with $M$ heterogeneous data sources, each exhibiting unknown and distinct noise variances $\{\ddot{I}{ƒ}_j^2{\}}_{j=1}^M$. The learner's obj…