Efficient learning by implicit exploration in bandit problems with side observations

International audienceWe consider online learning problems under a a partial observability model capturing situations where the information conveyed to the learner is between full information and bandit feedback. In the simplest variant, we assume that in addition to its own loss, the learner also gets to observe losses of some other actions. The revealed losses depend on the learner's action and a directed observation system chosen by the environment. For this setting, we propose the first algorithm that enjoys near-optimal regret guarantees without having to know the observation system before selecting its actions. Along similar lines, we also define a new partial information setting that models online combinatorial optimization problems where the feedback received by the learner is between semi-bandit and full feedback. As the predictions of our first algorithm cannot be always computed efficiently in this setting, we propose another algorithm with similar properties and with the benefit of always being computationally efficient, at the price of a slightly more complicated tuning mechanism. Both algorithms rely on a novel exploration strategy called implicit exploration, which is shown to be more efficient both computationally and information-theoretically than previously studied exploration strategies for the problem

Explore no more: Improved high-probability regret bounds for non-stochastic bandits

This work addresses the problem of regret minimization in non-stochastic multi-armed bandit problems, focusing on performance guarantees that hold with high probability. Such results are rather scarce in the literature since proving them requires a large deal of technical effort and significant modifications to the standard, more intuitive algorithms that come only with guarantees that hold on expectation. One of these modifications is forcing the learner to sample arms from the uniform distribution at least $\Omega(\sqrt{T})$ times over $T$ rounds, which can adversely affect performance if many of the arms are suboptimal. While it is widely conjectured that this property is essential for proving high-probability regret bounds, we show in this paper that it is possible to achieve such strong results without this undesirable exploration component. Our result relies on a simple and intuitive loss-estimation strategy called Implicit eXploration (IX) that allows a remarkably clean analysis. To demonstrate the flexibility of our technique, we derive several improved high-probability bounds for various extensions of the standard multi-armed bandit framework. Finally, we conduct a simple experiment that illustrates the robustness of our implicit exploration technique.Comment: To appear at NIPS 201

First-order regret bounds for combinatorial semi-bandits

We consider the problem of online combinatorial optimization under semi-bandit feedback, where a learner has to repeatedly pick actions from a combinatorial decision set in order to minimize the total losses associated with its decisions. After making each decision, the learner observes the losses associated with its action, but not other losses. For this problem, there are several learning algorithms that guarantee that the learner's expected regret grows as $\widetilde{O}(\sqrt{T})$ with the number of rounds $T$. In this paper, we propose an algorithm that improves this scaling to $\widetilde{O}(\sqrt{{L_T^*}})$, where $L_T^*$ is the total loss of the best action. Our algorithm is among the first to achieve such guarantees in a partial-feedback scheme, and the first one to do so in a combinatorial setting.Comment: To appear at COLT 201

Path Planning Problems with Side Observations-When Colonels Play Hide-and-Seek

Resource allocation games such as the famous Colonel Blotto (CB) and Hide-and-Seek (HS) games are often used to model a large variety of practical problems, but only in their one-shot versions. Indeed, due to their extremely large strategy space, it remains an open question how one can efficiently learn in these games. In this work, we show that the online CB and HS games can be cast as path planning problems with side-observations (SOPPP): at each stage, a learner chooses a path on a directed acyclic graph and suffers the sum of losses that are adversarially assigned to the corresponding edges; and she then receives semi-bandit feedback with side-observations (i.e., she observes the losses on the chosen edges plus some others). We propose a novel algorithm, EXP3-OE, the first-of-its-kind with guaranteed efficient running time for SOPPP without requiring any auxiliary oracle. We provide an expected-regret bound of EXP3-OE in SOPPP matching the order of the best benchmark in the literature. Moreover, we introduce additional assumptions on the observability model under which we can further improve the regret bounds of EXP3-OE. We illustrate the benefit of using EXP3-OE in SOPPP by applying it to the online CB and HS games.Comment: Previously, this work appeared as arXiv:1911.09023 which was mistakenly submitted as a new article (has been submitted to be withdrawn). This is a preprint of the work published in Proceedings of the 34th AAAI Conference on Artificial Intelligence (AAAI