We study a multiplayer stochastic multi-armed bandit problem in which players cannot communicate, and if two or more players pull the same arm, a collision occurs and the involved players receive zero reward. We consider the challenging heterogeneous setting, in which different arms may have different means for different players, and propose a new, efficient algorithm that combines the idea of leveraging forced collisions for implicit communication and that of performing matching eliminations. We give a finite-time analysis of our algorithm, bounding its regret by O((log T)^ 1+ ) for any fixed >0. If the optimal assignment of players to arms is unique, we further show that it attains the optimal O(log(T)) regret, solving an open question raised at NeurIPS 2018.
The Game-of-Thrones algorithm is proved to have an expected regret of order @math for any given constant @math , where the constant in the @math depends on @math and on the problem parameters ( @math , @math and @math ) in a way that is not very explicit in Theorem 3 of @cite_16 . Unlike our algorithms, GOT does not need to know the horizon @math . However, (a lower bound on) the value of @math is needed to calibrate the length of the exploration phase. Moreover, the analysis of the Game-of-Thrones algorithm works for small enough @math ,' where @math is a parameter of the GOT phase, but it is not clear how the players must choose @math to achieve the guaranteed regret.
@cite_16
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We consider the adversarial convex bandit problem and we build the first @math -time algorithm with @math -regret for this problem. To do so we introduce three new ideas in the derivative-free optimization literature: (i) kernel methods, (ii) a generalization of Bernoulli convolutions, and (iii) a new annealing schedule for exponential weights (with increasing learning rate). The basic version of our algorithm achieves @math -regret, and we show that a simple variant of this algorithm can be run in @math -time per step at the cost of an additional @math factor in the regret. These results improve upon the @math -regret and @math -time result of the first two authors, and the @math -regret and @math -time result of Hazan and Li. Furthermore we conjecture that another variant of the algorithm could achieve @math -regret, and moreover that this regret is unimprovable (the current best lower bound being @math and it is achieved with linear functions). For the simpler situation of zeroth order stochastic convex optimization this corresponds to the conjecture that the optimal query complexity is of order @math . We consider the problem of provably optimal exploration in reinforcement learning for finite horizon MDPs. We show that an optimistic modification to value iteration achieves a regret bound of @math where @math is the time horizon, @math the number of states, @math the number of actions and @math the number of time-steps. This result improves over the best previous known bound @math achieved by the UCRL2 algorithm of , 2010. The key significance of our new results is that when @math and @math , it leads to a regret of @math that matches the established lower bound of @math up to a logarithmic factor. Our analysis contains two key insights. We use careful application of concentration inequalities to the optimal value function as a whole, rather than to the transitions probabilities (to improve scaling in @math ), and we define Bernstein-based "exploration bonuses" that use the empirical variance of the estimated values at the next states (to improve scaling in @math ). We consider the problem of learning an unknown Markov Decision Process (MDP) that is weakly communicating in the infinite horizon setting. We propose a Thompson Sampling-based reinforcement learning algorithm with dynamic episodes (TSDE). At the beginning of each episode, the algorithm generates a sample from the posterior distribution over the unknown model parameters. It then follows the optimal stationary policy for the sampled model for the rest of the episode. The duration of each episode is dynamically determined by two stopping criteria. The first stopping criterion controls the growth rate of episode length. The second stopping criterion happens when the number of visits to any state-action pair is doubled. We establish @math bounds on expected regret under a Bayesian setting, where @math and @math are the sizes of the state and action spaces, @math is time, and @math is the bound of the span. This regret bound matches the best available bound for weakly communicating MDPs. Numerical results show it to perform better than existing algorithms for infinite horizon MDPs. We consider two regret minimisation problems over subsets of a finite ground set @math , with subset-wise relative preference information feedback according to the Multinomial logit choice model. The first setting requires the learner to test subsets of size bounded by a maximum size followed by receiving top- @math rank-ordered feedback, while in the second setting the learner is restricted to play subsets of a fixed size @math with a full ranking observed as feedback. For both settings, we devise new, order-optimal regret algorithms, and derive fundamental limits on the regret performance of online learning with subset-wise preferences. Our results also show the value of eliciting a general top @math -rank-ordered feedback over single winner feedback ( @math ). We show for the first time, to our knowledge, that it is possible to reconcile in online learning in zero-sum games two seemingly contradictory objectives: vanishing time-average regret and non-vanishing step sizes. This phenomenon, that we coin fast and furious" learning in games, sets a new benchmark about what is possible both in max-min optimization as well as in multi-agent systems. Our analysis does not depend on introducing a carefully tailored dynamic. Instead we focus on the most well studied online dynamic, gradient descent. Similarly, we focus on the simplest textbook class of games, two-agent two-strategy zero-sum games, such as Matching Pennies. Even for this simplest of benchmarks the best known bound for total regret, prior to our work, was the trivial one of @math , which is immediately applicable even to a non-learning agent. Based on a tight understanding of the geometry of the non-equilibrating trajectories in the dual space we prove a regret bound of @math matching the well known optimal bound for adaptive step sizes in the online setting. This guarantee holds for all fixed step-sizes without having to know the time horizon in advance and adapt the fixed step-size accordingly. As a corollary, we establish that even with fixed learning rates the time-average of mixed strategies, utilities converge to their exact Nash equilibrium values. We apply the exponential weight algorithm, introduced and Littlestone and Warmuth [26]and by Vovk [35]to the problem of predicting a binary sequence almost as well as the best biased coin. We first show that for the case of the logarithmic loss, the derived algorithm is equivalent to the Bayes algorithm with Jeffreys prior, that was studied by Xie and Barron [38]under probabilistic assumptions. We derive a uniform bound on the regret which holds for any sequence. We also show that if the empirical distribution of the sequence is bounded away from 0 and from 1, then, as the length of the sequence increases to infinity, the difference between this bound and a corresponding bound on the average case regret of the same algorithm (which is asymptotically optimal in that case) is only 1 2. We show that this gap of 1 2 is necessary by calculating the regret of the min–max optimal algorithm for this problem and showing that the asymptotic upper bound is tight. We also study the application of this algorithm to the square loss and show that the algorithm that is derived in this case is different from the Bayes algorithm and is better than it for prediction in the worstcase. We show that natural classes of regularized learning algorithms with a form of recency bias achieve faster convergence rates to approximate efficiency and to coarse correlated equilibria in multiplayer normal form games. When each player in a game uses an algorithm from our class, their individual regret decays at O(T-3 4), while the sum of utilities converges to an approximate optimum at O(T-1)-an improvement upon the worst case O(T-1 2) rates. We show a black-box reduction for any algorithm in the class to achieve O(T-1 2) rates against an adversary, while maintaining the faster rates against algorithms in the class. Our results extend those of Rakhlin and Shridharan [17] and [4], who only analyzed two-player zero-sum games for specific algorithms. Many real-world problems face the dilemma of choosing best @math out of @math options at a given time instant. This setup can be modelled as combinatorial bandit which chooses @math out of @math arms at each time, with an aim to achieve an efficient tradeoff between exploration and exploitation. This is the first work for combinatorial bandit where the reward received can be a non-linear function of the chosen @math arms. The direct use of multi-armed bandit requires choosing among @math -choose- @math options making the state space large. In this paper, we present a novel algorithm which is computationally efficient and the storage is linear in @math . The proposed algorithm is a divide-and-conquer based strategy, that we call CMAB-SM. Further, the proposed algorithm achieves a regret bound of @math for a time horizon @math , which is sub-linear in all parameters @math , @math , and @math . The evaluation results on different reward functions and arm distribution functions show significantly improved performance as compared to standard multi-armed bandit approach with @math choices. Consider a sequence of bits where we are trying to predict the next bit from the previous bits. Assume we are allowed to say 'predict 0' or 'predict 1', and our payoff is +1 if the prediction is correct and -1 otherwise. We will say that at each point in time the loss of an algorithm is the number of wrong predictions minus the number of right predictions so far. In this paper we are interested in algorithms that have essentially zero (expected) loss over any string at any point in time and yet have small regret with respect to always predicting 0 or always predicting 1. For a sequence of length @math our algorithm has regret @math and loss @math in expectation for all strings. We show that the tradeoff between loss and regret is optimal up to constant factors. Our techniques extend to the general setting of @math experts, where the related problem of trading off regret to the best expert for regret to the special' expert has been studied by Even- (COLT'07). We obtain essentially zero loss with respect to the special expert and optimal loss regret tradeoff, improving upon the results of Even- and settling the main question left open in their paper. The strong loss bounds of the algorithm have some surprising consequences. A simple iterative application of our algorithm gives essentially optimal regret bounds at multiple time scales, bounds with respect to @math -shifting optima as well as regret bounds with respect to higher norms of the input sequence. We study online regret minimization algorithms in an experts setting. In this setting, the algorithm chooses a distribution over experts at each time step and receives a gain that is a weighted average of the experts' instantaneous gains. We consider a bicriteria setting, examining not only the standard notion of regret to the best expert, but also the regret to the average of all experts, the regret to any given fixed mixture of experts, or the regret to the worst expert. This study leads both to new understanding of the limitations of existing no-regret algorithms, and to new algorithms with novel performance guarantees. More specifically, we show that any algorithm that achieves only @math cumulative regret to the best expert on a sequence of T trials must, in the worst case, suffer regret @math to the average, and that for a wide class of update rules that includes many existing no-regret algorithms (such as Exponential Weights and Follow the Perturbed Leader), the product of the regret to the best and the regret to the average is, in the worst case, ?(T). We then describe and analyze two alternate new algorithms that both achieve cumulative regret only @math to the best expert and have only constant regret to any given fixed distribution over experts (that is, with no dependence on either T or the number of experts N). The key to the first algorithm is the gradual increase in the "aggressiveness" of updates in response to observed divergences in expert performances. The second algorithm is a simple twist on standard exponential-update algorithms. We consider bandit problems, motivated by applications in online advertising and news story selection, in which the learner must repeatedly select a slate, that is, a subset of size s from K possible actions, and then receives rewards for just the selected actions. The goal is to minimize the regret with respect to total reward of the best slate computed in hindsight. We consider unordered and ordered versions of the problem, and give efficient algorithms which have regret O(√T), where the constant depends on the specific nature of the problem. We also consider versions of the problem where we have access to a number of policies which make recommendations for slates in every round, and give algorithms with O(√T) regret for competing with the best such policy as well. We make use of the technique of relative entropy projections combined with the usual multiplicative weight update algorithm to obtain our algorithms. The is the following problem: a coin is given, which lands on head with probability either @math or @math . We are given the outcome of @math independent tosses of this coin, and the goal is to guess which way the coin is biased, and to answer correctly with probability @math . When our computational model is unrestricted, the majority function is optimal, and succeeds when @math for a large enough constant @math . The coin problem is open and interesting in models that cannot compute the majority function. In this paper we study the coin problem in the model of . We prove that in order to succeed in this model, @math must be at least @math . For constant @math this is tight by considering the recursive tribes function, and for other values of @math this is nearly tight by considering other read-once AND-OR trees. We generalize this to a , where instead of independent tosses of a coin we are given independent tosses of one of two @math -sided dice. We prove that if the distributions are too close and the mass of each side of the dice is not too small, then the dice cannot be distinguished by small-width read-once branching programs. We suggest one application for this kind of theorems: we prove that Nisan's Generator fools width- @math read-once branching programs, using seed length @math . For @math , this seed length is @math . The coin theorem and its relatives might have other connections to PRGs. This application is related to the independent, but chronologically-earlier, work of Braver man, Rao, Raz and Yehudayoff BRRY . We propose a novel online learning method for minimizing regret in large extensive-form games. The approach learns a function approximator online to estimate the regret for choosing a particular action. A no-regret algorithm uses these estimates in place of the true regrets to define a sequence of policies. We prove the approach sound by providing a bound relating the quality of the function approximation and regret of the algorithm. A corollary being that the method is guaranteed to converge to a Nash equilibrium in self-play so long as the regrets are ultimately realizable by the function approximator. Our technique can be understood as a principled generalization of existing work on abstraction in large games; in our work, both the abstraction as well as the equilibrium are learned during self-play. We demonstrate empirically the method achieves higher quality strategies than state-of-the-art abstraction techniques given the same resources. We consider a stochastic bandit problem with infinitely many arms. In this setting, the learner has no chance of trying all the arms even once and has to dedicate its limited number of samples only to a certain number of arms. All previous algorithms for this setting were designed for minimizing the cumulative regret of the learner. In this paper, we propose an algorithm aiming at minimizing the simple regret. As in the cumulative regret setting of infinitely many armed bandits, the rate of the simple regret will depend on a parameter @math characterizing the distribution of the near-optimal arms. We prove that depending on @math , our algorithm is minimax optimal either up to a multiplicative constant or up to a @math factor. We also provide extensions to several important cases: when @math is unknown, in a natural setting where the near-optimal arms have a small variance, and in the case of unknown time horizon. This paper addresses the problem of minimizing a convex, Lipschitz function @math over a convex, compact set @math under a stochastic bandit (i.e., noisy zeroth-order) feedback model. In this model, the algorithm is allowed to observe noisy realizations of the function value @math at any query point @math . The quantity of interest is the regret of the algorithm, which is the sum of the function values at algorithm's query points minus the optimal function value. We demonstrate a generalization of the ellipsoid algorithm that incurs @math regret. Since any algorithm has regret at least @math on this problem, our algorithm is optimal in terms of the scaling with @math . This paper investigates a zero-sum game played on a weighted connected graph @math between two players, the tree player and the edge player. At each play, the tree player chooses a spanning tree @math and the edge player chooses an edge @math . The payoff to the edge player is @math , defined as follows: If @math lies in the tree @math then @math ; if @math does not lie in the tree then @math , where @math is the weight of edge @math and @math is the weight of the unique cycle formed when edge @math is added to the tree @math . The main result is that the value of the game on any @math -vertex graph is bounded above by @math . It is conjectured that the value of the game is @math . The game arises in connection with the @math -server problem on a road network; i.e., a metric space that can be represented as a multigraph @math in which each edge @math represents a road of length @math . It is shown that, if the value of the game on @math is @math , then there is a randomized strategy that achieves a competitive ratio of @math against any oblivious adversary. Thus, on any @math -vertex road network, there is a randomized algorithm for the @math -server problem that is @math competitive against oblivious adversaries. At the heart of the analysis of the game is an algorithm that provides an approximate solution for the simple network design problem. Specifically, for any @math -vertex weighted, connected multigraph, the algorithm constructs a spanning tree @math such that the average, over all edges @math , of @math is less than or equal to @math . This result has potential application to the design of communication networks. It also improves substantially known estimates concerning the existence of a sparse basis for the cycle space of a graph. We present algorithms for reducing the Dueling Bandits problem to the conventional (stochastic) Multi-Armed Bandits problem. The Dueling Bandits problem is an online model of learning with ordinal feedback of the form "A is preferred to B" (as opposed to cardinal feedback like "A has value 2.5"), giving it wide applicability in learning from implicit user feedback and revealed and stated preferences. In contrast to existing algorithms for the Dueling Bandits problem, our reductions -- named @math , @math and @math -- provide a generic schema for translating the extensive body of known results about conventional Multi-Armed Bandit algorithms to the Dueling Bandits setting. For @math and @math we prove regret upper bounds in both finite and infinite settings, and conjecture about the performance of @math which empirically outperforms the other two as well as previous algorithms in our experiments. In addition, we provide the first almost optimal regret bound in terms of second order terms, such as the differences between the values of the arms. In sparse principal component analysis we are given noisy observations of a low-rank matrix of dimension @math and seek to reconstruct it under additional sparsity assumptions. In particular, we assume here each of the principal components @math has at most @math non-zero entries. We are particularly interested in the high dimensional regime wherein @math is comparable to, or even much larger than @math . In an influential paper, johnstone2004sparse introduced a simple algorithm that estimates the support of the principal vectors @math by the largest entries in the diagonal of the empirical covariance. This method can be shown to identify the correct support with high probability if @math , and to fail with high probability if @math for two constants @math . Despite a considerable amount of work over the last ten years, no practical algorithm exists with provably better support recovery guarantees. Here we analyze a covariance thresholding algorithm that was recently proposed by KrauthgamerSPCA . On the basis of numerical simulations (for the rank-one case), these authors conjectured that covariance thresholding correctly recover the support with high probability for @math (assuming @math of the same order as @math ). We prove this conjecture, and in fact establish a more general guarantee including higher-rank as well as @math much smaller than @math . Recent lower bounds berthet2013computational, ma2015sum suggest that no polynomial time algorithm can do significantly better. The key technical component of our analysis develops new bounds on the norm of kernel random matrices, in regimes that were not considered before. The probability that a user will click a search result depends both on its relevance and its position on the results page. The position based model explains this behavior by ascribing to every item an attraction probability, and to every position an examination probability. To be clicked, a result must be both attractive and examined. The probabilities of an item-position pair being clicked thus form the entries of a rank- @math matrix. We propose the learning problem of a Bernoulli rank- @math bandit where at each step, the learning agent chooses a pair of row and column arms, and receives the product of their Bernoulli-distributed values as a reward. This is a special case of the stochastic rank- @math bandit problem considered in recent work that proposed an elimination based algorithm Rank1Elim, and showed that Rank1Elim's regret scales linearly with the number of rows and columns on "benign" instances. These are the instances where the minimum of the average row and column rewards @math is bounded away from zero. The issue with Rank1Elim is that it fails to be competitive with straightforward bandit strategies as @math . In this paper we propose Rank1ElimKL which simply replaces the (crude) confidence intervals of Rank1Elim with confidence intervals based on Kullback-Leibler (KL) divergences, and with the help of a novel result concerning the scaling of KL divergences we prove that with this change, our algorithm will be competitive no matter the value of @math . Experiments with synthetic data confirm that on benign instances the performance of Rank1ElimKL is significantly better than that of even Rank1Elim, while experiments with models derived from real data confirm that the improvements are significant across the board, regardless of whether the data is benign or not. We prove the first nontrivial (superlinear) lower bound in the noisy broadcast model, defined by El Gamal in [Open problems presented at the @math workshop on Specific Problems in Communication and Computation sponsored by Bell Communication Research, in Open Problems in Communication and Computation, T. M. Cover and B. Gopinath, eds., Springer-Verlag, New York, 1987, pp. 60-62]. In this model there are @math processors @math , each of which is initially given a private input bit @math . The goal is for @math to learn the value of @math , for some specified function @math , using a series of noisy broadcasts. At each step a designated processor broadcasts one bit to all of the other processors, and the bit received by each processor is flipped with fixed probability (independently for each recipient). In 1988, Gallager [IEEE Trans. Inform. Theory, 34 (1988), pp. 176-180] gave a noise-resistant protocol that allows @math to learn the entire input with constant probability in @math broadcasts. We prove that Gallager's protocol is optimal, up to a constant factor. Our lower bound follows by reduction from a lower bound for generalized noisy decision trees, a new model which may be of independent interest. For this new model we show a lower bound of @math on the depth of a tree that learns the entire input. While the above lower bound is for an @math -bit function, we also show an @math lower bound for the number of broadcasts required to compute certain explicit boolean-valued functions, when the correct output must be attained with probability at least @math for a constant parameter @math (this bound applies to all threshold functions as well as any other boolean-valued function with linear sensitivity). This bound also follows by reduction from a lower bound of @math on the depth of generalized noisy decision trees that compute the same functions with the same error. We also show a (nontrivial) @math lower bound on the depth of generalized noisy decision trees that compute such functions with small constant error. Finally, we show the first protocol in the noisy broadcast model that computes the Hamming weight of the input using a linear number of broadcasts.