We consider a stochastic multi-armed bandit problem with i.i.d.

This paper addresses the problem of multi-risk measure agnostic multi-armed bandits in heavy-tailed reward settings. We propose a framework that leverages novel deviation inequalities for the 1-Wasserstein distance to construct confidence intervals for Lipschitz risk measures. The distributional LCB (DistLCB) algorithm is introduced, which achieves asymptotic optimality by deriving the first lower bounds for risk measure aware bandits with explicit sub-optimality gap dependencies. The DistLCB is further extended to multi-risk objectives, which enables Pareto-optimal solutions that consider multiple aspects of reward distributions. Additionally, we provide a regret analysis that includes both gap-dependent and gap-independent bounds for multi-risk settings. Experiments validate the effectiveness of the proposed methods in synthetic and real-world applications.

Neural Information Processing Systems http://nips.cc/

Neural Information Processing Systems http://nips.cc/

We consider the problem of finding the best arm in a stochastic Multi-armed Bandit (MAB) game and propose a general framework based on verification that applies to multiple well-motivated generalizations of the classic MAB problem. In these generalizations, additional structure is known in advance, causing the task of verifying the optimality of a candidate to be easier than discovering the best arm. Our results are focused on the scenario where the failure probability must be very low; we essentially show that in this high confidence regime, identifying the best arm is as easy as the task of verification. We demonstrate the effectiveness of our framework by applying it, and matching or improving the state-of-the art results in the problems of: Linear bandits, Dueling bandits with the Condorcet assumption, Copeland dueling bandits, Unimodal bandits and Graphical bandits.

As trained intelligent systems become increasingly pervasive, multi-agent learning has emerged as a popular framework for studying complex interactions between autonomous agents. Yet, a formal understanding of how and when learners in heterogeneous environments benefit from sharing their respective experiences is still in its infancy. In this paper, we seek answers to these questions in the context of linear contextual bandits. We present a novel distributed learning algorithm based on the upper confidence bound (UCB) algorithm, which we refer to as H-LINUCB, wherein agents cooperatively minimize the group regret under the coordination of a central server. In the setting where the level of heterogeneity or dissimilarity across the environments is known to the agents, we show that H-LINUCB is provably optimal in regimes where the tasks are highly similar or highly dissimilar.

We consider a contextual bandit problem with S contexts and K actions. In each round t = 1,2,... the learner observes a random context and chooses an action based on its past experience. The learner then observes a random reward whose mean is a function of the context and the action for the round. Under the assumption that the contexts can be lumped into r min{S,K}groups such that the mean reward for the various actions is the same for any two contexts that are in the same group, we give an algorithm that outputs an ε-optimal policy after using at most eO(r(S+K)/ε2) samples with high probability and provide a matching Ω(r(S + K)/ε2) lower bound. In the regret minimization setting, we give an algorithm whose cumulative regret up to time T is bounded by eO( p r3(S+K)T). To the best of our knowledge, we are the first to show the near-optimal sample complexity in the PAC setting and eO( p poly(r)(S+K)T)minimax regret in the online setting for this problem. We also show our algorithms can be applied to more general low-rank bandits and get improved regret bounds in some scenarios.