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Published in:
2006 | OriginalPaper | Chapter
Nearly Optimal Exploration-Exploitation Decision Thresholds
Author : Christos Dimitrakakis
Published in: Artificial Neural Networks – ICANN 2006
Publisher: Springer Berlin Heidelberg
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While in general trading off exploration and exploitation in reinforcement learning is hard, under some formulations relatively simple solutions exist. Optimal decision thresholds for the multi-armed bandit problem, one for the infinite horizon discounted reward case and one for the finite horizon undiscounted reward case are derived, which make the link between the reward horizon, uncertainty and the need for exploration explicit. From this result follow two practical approximate algorithms, which are illustrated experimentally.