Bandits with switching costs

DOI10.1145/2591796.2591868zbMATH Open1315.68207arXiv1310.2997OpenAlexW2109690147MaRDI QIDQ5259581FDOQ5259581

Jian Ding, Ofer Dekel, Yuval Peres, Tomer Koren

Publication date: 26 June 2015

Published in: Proceedings of the forty-sixth annual ACM symposium on Theory of computing (Search for Journal in Brave)

Abstract: We study the adversarial multi-armed bandit problem in a setting where the player incurs a unit cost each time he switches actions. We prove that the player's $T$-round minimax regret in this setting is $widetildeTheta(T^{2/3})$, thereby closing a fundamental gap in our understanding of learning with bandit feedback. In the corresponding full-information version of the problem, the minimax regret is known to grow at a much slower rate of $Theta(sqrtT)$. The difference between these two rates provides the emph{first} indication that learning with bandit feedback can be significantly harder than learning with full-information feedback (previous results only showed a different dependence on the number of actions, but not on $T$.) In addition to characterizing the inherent difficulty of the multi-armed bandit problem with switching costs, our results also resolve several other open problems in online learning. One direct implication is that learning with bandit feedback against bounded-memory adaptive adversaries has a minimax regret of $widetildeTheta(T^{2/3})$. Another implication is that the minimax regret of online learning in adversarial Markov decision processes (MDPs) is $widetildeTheta(T^{2/3})$. The key to all of our results is a new randomized construction of a multi-scale random walk, which is of independent interest and likely to prove useful in additional settings.

Full work available at URL: https://arxiv.org/abs/1310.2997

zbMATH Keywords

lower boundsmulti-armed banditswitching costsonline learning

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Online algorithms; streaming algorithms (68W27) Randomized algorithms (68W20) Sums of independent random variables; random walks (60G50) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Rationality and learning in game theory (91A26)

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Cited In (4)

• Online Learning over a Finite Action Set with Limited Switching
• Average optimality in a Poissonian bandit with switching arms
• Constrained no-regret learning
• Chasing Ghosts: Competing with Stateful Policies

Uses Software

• SuLQ

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