LGDec 10, 2014
Generalised Entropy MDPs and Minimax RegretEmmanouil G. Androulakis, Christos Dimitrakakis
Bayesian methods suffer from the problem of how to specify prior beliefs. One interesting idea is to consider worst-case priors. This requires solving a stochastic zero-sum game. In this paper, we extend well-known results from bandit theory in order to discover minimax-Bayes policies and discuss when they are practical.