Batched Multi-Armed Bandits with Optimal Regret.

Hossein Esfandiari, Amin Karbasi, Abbas Mehrabian, Vahab S. Mirrokni

Abstract: We present simple and efficient algorithms for the batched stochastic multi-armed bandit and batched stochastic linear bandit problems. We prove bounds for their expected regrets that improve over the best-known regret bounds for any number of batches. In particular, our algorithms in both settings achieve the optimal expected regrets by using only a logarithmic number of batches. We also study the batched adversarial multi-armed bandit problem for the first time and find the optimal regret, up to logarithmic factors, of any algorithm with predetermined batch sizes.