Reinforcement learning (RL) is a paradigm for learning sequential decision making tasks. However, typically the user must hand-tune exploration parameters for each different domain and/or algorithm that they are using. In this work, we present an algorithm called leo for learning these exploration strategies on-line. This algorithm makes use of bandit-type algorithms to adaptively select exploration strategies based on the rewards received when following them. We show empirically that this method performs well across a set of five domains. In contrast, for a given algorithm, no set of parameters is best across all domains. Our results demonstrate that the leo algorithm successfully learns the best exploration strategies on-line, increasing the received reward over static parameterizations of exploration and reducing the need for hand-tuning exploration parameters.