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One Practical Algorithm for Both Stochastic and Adversarial Bandits
Authors: Yevgeny Seldin and Aleksandrs Slivkins
Conference: Proceedings of the 31st International Conference on Machine Learning (ICML-14)
Abstract: We present an algorithm for multiarmed bandits that achieves almost optimal performance in both stochastic and adversarial regimes without prior knowledge about the nature of the environment. Our algorithm is based on augmentation of the EXP3 algorithm with a new control lever in the form of exploration parameters that are tailored individually for each arm. The algorithm simultaneously applies the ``old'' control lever, the learning rate, to control the regret in the adversarial regime and the new control lever to detect and exploit gaps between the arm losses. This secures problem-dependent ``logarithmic'' regret when gaps are present without compromising on the worst-case performance guarantee in the adversarial regime. We show that the algorithm can exploit both the usual expected gaps between the arm losses in the stochastic regime and deterministic gaps between the arm losses in the adversarial regime. The algorithm retains ``logarithmic'' regret guarantee in the stochastic regime even when some observations are contaminated by an adversary, as long as on average the contamination does not reduce the gap by more than a half. Our results for the stochastic regime are supported by experimental validation.
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