Best of both worlds: Stochastic & adversarial best-arm identification - Inria - Institut national de recherche en sciences et technologies du numérique
Communication Dans Un Congrès Année : 2018

Best of both worlds: Stochastic & adversarial best-arm identification

Alan Malek
  • Fonction : Auteur
  • PersonId : 1032825
Michal Valko

Résumé

We study bandit best-arm identification with arbitrary and potentially adversarial rewards. A simple random uniform learner obtains the optimal rate of error in the adversarial scenario. However, this type of strategy is suboptimal when the rewards are sampled stochastically. Therefore, we ask: Can we design a learner that performs optimally in both the stochastic and adversarial problems while not being aware of the nature of the rewards? First, we show that designing such a learner is impossible in general. In particular, to be robust to adversarial rewards, we can only guarantee optimal rates of error on a subset of the stochastic problems. We give a lower bound that characterizes the optimal rate in stochastic problems if the strategy is constrained to be robust to adversarial rewards. Finally, we design a simple parameter-free algorithm and show that its probability of error matches (up to log factors) the lower bound in stochastic problems, and it is also robust to adversarial ones.
Fichier principal
Vignette du fichier
Main.pdf (1.11 Mo) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-01808948 , version 1 (06-06-2018)
hal-01808948 , version 2 (12-07-2018)
hal-01808948 , version 3 (16-07-2018)
hal-01808948 , version 4 (23-07-2018)
hal-01808948 , version 5 (19-07-2021)
hal-01808948 , version 6 (31-07-2023)

Identifiants

  • HAL Id : hal-01808948 , version 1

Citer

Yasin Abbasi-Yadkori, Peter Bartlett, Victor Gabillon, Alan Malek, Michal Valko. Best of both worlds: Stochastic & adversarial best-arm identification. COLT 2018 - Conference on Learning Theory, Jul 2018, Stockholm, Sweden. ⟨hal-01808948v1⟩
885 Consultations
999 Téléchargements

Partager

More