Section: New Results

Batched Bandit Problems

Participant : Vianney Perchet [correspondent] .

Collaboration with Philippe Rigollet, Sylvain Chassang and Erik Snowberg.

Motivated by practical applications, chiefly clinical trials, we study in [39] the regret achievable for stochastic bandits under the constraint that the employed policy must split trials into a small number of batches. Our results show that a very small number of batches gives close to minimax optimal regret bounds. As a byproduct, we derive optimal policies with low switching cost for stochastic bandits.