Amith Bhat Hosadurga Anand

Data-Source Adaptive Online Learning under Heteroscedastic Noise

In this paper, we address the standard $K$-armed multi-armed bandit (MAB) with $M$ heterogeneous data sources, each exhibiting unknown and distinct noise variances, $\sigma_j^2$. We propose SOAR (Source-Optimistic Adaptive Regret Minimization), a novel algorithm that adaptively balances exploration …