Nonstochastic Bandits with Infinitely Many Experts (2102.05164v2)

Abstract: We study the problem of nonstochastic bandits with expert advice, extending the setting from finitely many experts to any countably infinite set: A learner aims to maximize the total reward by taking actions sequentially based on bandit feedback while benchmarking against a set of experts. We propose a variant of Exp4.P that, for finitely many experts, enables inference of correct expert rankings while preserving the order of the regret upper bound. We then incorporate the variant into a meta-algorithm that works on infinitely many experts. We prove a high-probability upper bound of $\tilde{\mathcal{O}} \big( i^*K + \sqrt{KT} \big)$ on the regret, up to polylog factors, where $i^*$ is the unknown position of the best expert, $K$ is the number of actions, and $T$ is the time horizon. We also provide an example of structured experts and discuss how to expedite learning in such case. Our meta-learning algorithm achieves optimal regret up to polylog factors when $i^* = \tilde{\mathcal{O}} \big( \sqrt{T/K} \big)$. If a prior distribution is assumed to exist for $i^*$, the probability of optimality increases with $T$, the rate of which can be fast.