Resource Allocation in Multi-armed Bandit Exploration: Overcoming Sublinear Scaling with Adaptive Parallelism

Brijen Thananjeyan, Kirthevasan Kandasamy, Ion Stoica, Michael I. Jordan, Ken Goldberg, Joseph Gonzalez

Abstract: We study exploration in stochastic multi-armed bandits when we have access to a divisible resource that can be allocated in varying amounts to arm pulls. We focus in particular on the allocation of...