Asymptotically-Optimal Gaussian Bandits with Side Observations

Alexia Atsidakou, Orestis Papadigenopoulos, Constantine Caramanis, Sujay Sanghavi, Sanjay Shakkottai

Abstract: We study the problem of Gaussian bandits with general side information, as first introduced by Wu, Szepesvári, and György. In this setting, the play of an arm reveals information about other arms, ...