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Books & Tutorials

Essential books, survey papers, ICML tutorials, and video lectures on multi-armed bandit algorithms.

Books and Tutorials

Prediction, Learning, and Games

N. Cesa-Bianchi and G. Lugosi
Cambridge University Press, 2006
Foundational text on online learning and bandits. Covers adversarial settings extensively.
Cambridge | Google Scholar

Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems

S. Bubeck and N. Cesa-Bianchi
Foundations and Trends in Machine Learning, Vol 5: No 1, 1-122, 2012
Comprehensive survey covering both stochastic and adversarial bandits. Essential reading.
arXiv | Publisher

Bandit Algorithms

T. Lattimore and C. Szepesvári
Cambridge University Press, 2020
Modern comprehensive textbook on bandit algorithms. Covers recent advances and theory.
Free PDF | Cambridge

Online Courses and Tutorials

Tor Lattimore
Bandit Algorithms Course
Online course materials accompanying the "Bandit Algorithms" textbook. Includes exercises and implementations.

Introduction to Multi-Armed Bandits
Aleksandrs Slivkins, 2019
Accessible introduction to bandits. Foundations and Trends in Machine Learning, Vol. 12, No. 1-2.