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math.ST2012
Minimax Number of Strata for Online Stratified Sampling given Noisy Samples
Alexandra Carpentier, Rémi Munos
We consider the problem of online stratified sampling for Monte Carlo integration of a function given a finite budget of noisy evaluations to the function. More precisely we fo…
math.ST2012
Bandit Theory meets Compressed Sensing for high dimensional Stochastic Linear Bandit
Alexandra Carpentier, Rémi Munos
We consider a linear stochastic bandit problem where the dimension of the unknown parameter is larger than the sampling budget . In such cases, it is in general impossib…
math.ST2011★ 121 cited
A Finite-Time Analysis of Multi-armed Bandits Problems with Kullback-Leibler Divergences
Odalric-Ambrym Maillard, Rémi Munos, Gilles Stoltz
We consider a Kullback-Leibler-based algorithm for the stochastic multi-armed bandit problem in the case of distributions with finite supports (not necessarily known beforehand), w…