We address the online linear optimization problem with bandit feedback. Our contribution is twofold. First, we provide an algorithm (based on exponential weights) with a regret of order √dn log N for any finite action set with N actions, under the assumption that the instantaneous loss is bounded by 1. This shaves off an extraneous √d factor compared to previous works, and gives a regret bound of order d√n log n for any compact set of actions. Without further assumptions on the action set, this last bound is minimax optimal up to a logarithmic factor. Interestingly, our result also shows that the minimax regret for bandit linear optimization with expert advice in d dimension is the same as for the basic d-armed bandit with expert advice. Our second contribution is to show how to use the Mirror Descent algorithm to obtain computationally efficient strategies with minimax optimal regret bounds in specific examples. More precisely we study two canonical action sets: The hypercube and the Euclidean ball. In the former case, we obtain the first computationally efficient algorithm with a d p n regret, thus improving by a factor √d log n over the best known result for a computationally efficient algorithm. In the latter case, our approach gives the first algorithm with a √ dn log n regret, again shaving off an extraneous √d compared to previous works.
Towards minimax policies for online linear optimization with bandit feedback / S. Bubeck, N. Cesa-Bianchi, S. Kakade - In: Proceedings of the 25th Annual Conference on Learning Theory : june 25–June 27, 2012, Edinburgh, Scotland / [a cura di] S. Mannor, N. Srebro, R.C. Williamson. - Brookline, USA : Microtome, 2012. - pp. 41.1-41.14 (( Intervento presentato al 25. convegno Annual Conference on Learning Theory tenutosi a Edinburgh nel 2012.
|Titolo:||Towards minimax policies for online linear optimization with bandit feedback|
CESA BIANCHI, NICOLO' ANTONIO (Secondo)
|Settore Scientifico Disciplinare:||Settore INF/01 - Informatica|
|Progetto:||Pattern Analysis, Statistical Modelling and Computational Learning 2|
|Data di pubblicazione:||2012|
|Tipologia:||Book Part (author)|
|Appare nelle tipologie:||03 - Contributo in volume|