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Coordination without communication: optimal regret in two players multi-armed bandits

Abstract

We consider two agents playing simultaneously the same stochastic three-armed bandit problem. The two agents are cooperating but they cannot communicate. We propose a strategy with no collisions at all between the players (with very high probability), and with near-optimal regret O(Tlog(T))O(\sqrt{T \log(T)}). We also argue that the extra logarithmic term log(T)\sqrt{\log(T)} should be necessary by proving a lower bound for a full information variant of the problem.

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