Sequential learning

This repo contains resources to test a few online convex optimization / best arm identification in bandits algorithms.

Online convex optimization

Online gradient descent
Online gradient descend without gradient

Best arm identification in stochastic bandits

Fixed budget

Uniform sampling
Successive rejects

Fixed confidence

UCB-based with heuristic approximation of the GLRT stopping rule
Uniform sampling with heuristic approximation of the GLRT stopping rule
TTUCB (Top two with arm drawn by UCB as the leader)
EB-TC (Top two with empirically best arm as the leader)