On Regret with Multiple Best Arms

NeurIPS 2020

On Regret with Multiple Best Arms

Dec 06, 2020
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We study regret minimization problem with the existence of multiple best/near-optimal arms in the multi-armed bandit setting. We consider the case where the number of arms/actions is comparable or much larger than the time horizon, and make no assumptions about the structure of the bandit instance. Our goal is to design algorithms that can automatically adapt to the unknown hardness of the problem, i.e., the number of best arms. Our setting captures many modern applications of bandit algorithms where the action space is enormous and the information about the underlying instance/structure is unavailable. We first propose an adaptive algorithm that is agnostic to the hardness level and theoretically derive its regret bound. We then prove a lower bound for our problem setting, which indicates: (1) no algorithm can be optimal simultaneously over all hardness levels; and (2) our algorithm achieves an adaptive rate function that is Pareto optimal. With additional knowledge of the expected reward of the best arm, we propose another adaptive algorithm that is minimax optimal, up to polylog factors, over all hardness levels. Experimental results confirm our theoretical guarantees and show advantages of our algorithms over the previous state-of-the-art. Speakers: Yinglun Zhu, Robert Nowak

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