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Conference Papers Year : 2023

Constant regret for sequence prediction with limited advice

Abstract

We investigate the problem of cumulative regret minimization for individual sequence prediction with respect to the best expert in a finite family of size K under limited access to information. We assume that in each round, the learner can predict using a convex combination of at most p experts for prediction, then they can observe a posteriori the losses of at most m experts. We assume that the loss function is range-bounded and exp-concave. In the standard multi-armed bandits setting, when the learner is allowed to play only one expert per round and observe only its feedback, known optimal regret bounds are of the order O(√ KT). We show that allowing the learner to play one additional expert per round and observe one additional feedback improves substantially the guarantees on regret. We provide a strategy combining only p = 2 experts per round for prediction and observing m ≥ 2 experts' losses. Its randomized regret (wrt. internal randomization of the learners' strategy) is of order O (K/m) log(Kδ −1) with probability 1 − δ, i.e., is independent of the horizon T ("constant" or "fast rate" regret) if (p ≥ 2 and m ≥ 3). We prove that this rate is optimal up to a logarithmic factor in K. In the case p = m = 2, we provide an upper bound of order O(K 2 log(Kδ −1)), with probability 1 − δ. Our strategies do not require any prior knowledge of the horizon T nor of the confidence parameter δ. Finally, we show that if the learner is constrained to observe only one expert feedback per round, the worst-case regret is the "slow rate" Ω(√ KT), suggesting that synchronous observation of at least two experts per round is necessary to have a constant regret.
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Dates and versions

hal-03797597 , version 1 (04-10-2022)

Identifiers

Cite

El Mehdi Saad, Gilles Blanchard. Constant regret for sequence prediction with limited advice. Algorithmic Learning Theory (ALT 2023), Feb 2023, Singapore, Singapore. pp.1343-1386. ⟨hal-03797597⟩
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