An Exploration-by-Optimization Approach to Best of Both Worlds in Linear Bandits

Part of Advances in Neural Information Processing Systems 36 (NeurIPS 2023) Main Conference Track

Bibtex Paper


Shinji Ito, Kei Takemura


In this paper, we consider how to construct best-of-both-worlds linear bandit algorithms that achieve nearly optimal performance for both stochastic and adversarial environments. For this purpose, we show that a natural approach referred to as exploration by optimization [Lattimore and Szepesvári, 2020] works well. Specifically, an algorithm constructed using this approach achieves $O(d \sqrt{ T \log{T}})$-regret in adversarial environments and $O(\frac{d^2 \log T}{\Delta_{\min}} )$-regret in stochastic environments. Symbols $d$, $T$ and $\Delta_{\min}$ here represent the dimensionality of the action set, the time horizon, and the minimum sub-optimality gap, respectively. We also show that this algorithm has even better theoretical guarantees for important special cases including the multi-armed bandit problem and multitask bandits.