Bandits Corrupted by Nature: Lower Bounds on Regret and Robust Optimistic Algorithm
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In this paper, we study the stochastic bandits problem with k unknown heavy-tailed and corrupted reward distributions or arms with time-invariant corruption distributions. At each iteration, the player chooses an arm. Given the arm, the environment returns an uncorrupted reward with probability 1-ε and an arbitrarily corrupted reward with probability ε. In our setting, the uncorrupted reward might be heavy-tailed and the corrupted reward might be unbounded. We prove a lower bound on the regret indicating that the corrupted and heavy-tailed bandits are strictly harder than uncorrupted or light-tailed bandits. We observe that the environments can be categorised into hardness regimes depending on the suboptimality gap Δ, variance σ, and corruption proportion ϵ. Following this, we design a UCB-type algorithm, namely HuberUCB, that leverages Huber's estimator for robust mean estimation. HuberUCB leads to tight upper bounds on regret in the proposed corrupted and heavy-tailed setting. To derive the upper bound, we prove a novel concentration inequality for Huber's estimator, which might be of independent interest.
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