53 research outputs found

    Learning to Optimize under Non-Stationarity

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    We introduce algorithms that achieve state-of-the-art \emph{dynamic regret} bounds for non-stationary linear stochastic bandit setting. It captures natural applications such as dynamic pricing and ads allocation in a changing environment. We show how the difficulty posed by the non-stationarity can be overcome by a novel marriage between stochastic and adversarial bandits learning algorithms. Defining d,BT,d,B_T, and TT as the problem dimension, the \emph{variation budget}, and the total time horizon, respectively, our main contributions are the tuned Sliding Window UCB (\texttt{SW-UCB}) algorithm with optimal O~(d2/3(BT+1)1/3T2/3)\widetilde{O}(d^{2/3}(B_T+1)^{1/3}T^{2/3}) dynamic regret, and the tuning free bandit-over-bandit (\texttt{BOB}) framework built on top of the \texttt{SW-UCB} algorithm with best O~(d2/3(BT+1)1/4T3/4)\widetilde{O}(d^{2/3}(B_T+1)^{1/4}T^{3/4}) dynamic regret
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