2018
Minimax Concave Penalized Multi-Armed Bandit Model with High-Dimensional Covariates
ICML 2018oral
In this paper, we propose a Minimax Concave Penalized Multi-Armed Bandit (MCP-Bandit) algorithm for a decision-maker facing high-dimensional data with latent sparse structure in an online learning and decision-making process. We demonstrate that the MCP-Bandit algorithm asymptotically achieves the o…