We develop a coherent framework for integrative simultaneous analysis of the
exploration-exploitation and model order selection trade-offs. We improve over
our preceding results on the same subject (Seldin et al., 2011) by combining
PAC-Bayesian analysis with Bernstein-type inequality for martingales. Such a
combination is also of independent interest for studies of multiple
simultaneously evolving martingales.Comment: On-line Trading of Exploration and Exploitation 2 - ICML-2011
workshop. http://explo.cs.ucl.ac.uk/workshop
