Regret analysis of LINUCB on MDP environement ?

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Raphaël Feraud

Hello Djallel,

When the rewards are not discounted, you may use LinUCB since no assumption is done on the contexts (states): they can be generated by an adversary, so they can also depend on the previous states.

When the rewards are discounted, or more generally not stationary, you may use:

https://hal.inria.fr/hal-02291460/file/main.pdf

Raphaël

Md. Sazal Miah

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