For a seamless deployment of the Internet of Things (IoT), self-managing solutions are needed to overcome the challenges of IoT, including massively dense networks and careful management of constrained resources in terms of calculation, memory, and battery. Leveraging on artificial intelligence will enable IoT devices to operate autonomously by using inherently distributed learning techniques. Fully distributed resource management will free devices from draining their limited energy by constantly communicating with a centralized controller. The present work is devoted to a specific IoT context, that of LoRaWAN, where devices communicate with the access network via ALOHA-type access and spread spectrum technology. Concurrent transmissions on different spreading factors increase the network capacity. However, the bottleneck is inevitable with the expected massive deployment of LoRa devices. To address this issue, we resort to the popular EXP3 (Exponential Weights for Exploration and Exploitation) algorithm to steer autonomously the decision of LoRa devices towards the least solicited spreading factors. Furthermore, the spreading factor selection is cast as a proportional fair optimization problem used as a benchmark for the learning-based algorithm. Extensive simulations were run in a realistic environment taking into account physical phenomena in LoRaWAN such as the capture effect and inter-spreading factor collision, as well as non-uniform device distribution. In such a realistic setting, we evaluate the performances of the EXP3.S algorithm, an efficient variant of the EXP3 algorithm, and show its relevance against the fair centralized solution and basic heuristics.