ZADOROZHNYI , Oleksandr

We derive both Azuma-Hoeffding and Burkholder-type inequalities for partial sums over a rectangulargrid of dimension $d$ of a random field satisfying a weak dependency assumption of projective type:the difference between the expectation of an element of the random field and its conditional expectationgiven the rest of the field at a distance...

We study the stochastic multi-armed bandit problem in the case when the arm samples are dependent over time and generated from so-called weak $\cC$-mixing processes. We establish a $\cC-$Mix Improved UCB agorithm and provide both problem-dependent and independent regret analysis in two different scenarios. In the first, so-called fast-mixing...