Stability-penalty-adaptive Follow-the-regularized-leader: Sparsity, Game-dependency, and Best-of-both-worlds
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Adaptivity to the difficulties of a problem is a key property in sequential decision-making problems to broaden the applicability of algorithms. Follow-the-Regularized-Leader (FTRL) has recently emerged as one of the most promising approaches for obtaining various types of adaptivity in bandit problems. Aiming to further generalize this adaptivity, we develop a generic adaptive learning rate, called Stability-Penalty-Adaptive (SPA) learning rate for FTRL. This learning rate yields a regret bound jointly depending on stability and penalty of the algorithm, into which the regret of FTRL is typically decomposed. With this result, we establish several algorithms with three types of adaptivity: sparsity, game-dependency, and Best-of-Both-Worlds (BOBW). Sparsity frequently appears in real-world problems. However, existing sparse multi-armed bandit algorithms with k-arms assume that the sparsity level s ≤ k is known in advance, which is often not the case in real-world scenarios. To address this problem, with the help of the new learning rate framework, we establish s-agnostic algorithms with regret bounds of Õ(√(sT)) in the adversarial regime for T rounds, which matches the existing lower bound up to a logarithmic factor. Meanwhile, BOBW algorithms aim to achieve a near-optimal regret in both the stochastic and adversarial regimes. Leveraging the new adaptive learning rate framework and a novel analysis to bound the variation in FTRL output in response to changes in a regularizer, we establish the first BOBW algorithm with a sparsity-dependent bound. Additionally, we explore partial monitoring and demonstrate that the proposed learning rate framework allows us to achieve a game-dependent bound and the BOBW simultaneously.
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