Optimal Algorithms for Stochastic Multi-Armed Bandits with Heavy Tailed Rewards

10/24/2020
by   Kyungjae Lee, et al.
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In this paper, we consider stochastic multi-armed bandits (MABs) with heavy-tailed rewards, whose p-th moment is bounded by a constant ν_p for 1<p≤2. First, we propose a novel robust estimator which does not require ν_p as prior information, while other existing robust estimators demand prior knowledge about ν_p. We show that an error probability of the proposed estimator decays exponentially fast. Using this estimator, we propose a perturbation-based exploration strategy and develop a generalized regret analysis scheme that provides upper and lower regret bounds by revealing the relationship between the regret and the cumulative density function of the perturbation. From the proposed analysis scheme, we obtain gap-dependent and gap-independent upper and lower regret bounds of various perturbations. We also find the optimal hyperparameters for each perturbation, which can achieve the minimax optimal regret bound with respect to total rounds. In simulation, the proposed estimator shows favorable performance compared to existing robust estimators for various p values and, for MAB problems, the proposed perturbation strategy outperforms existing exploration methods.

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