Improved Analysis of the Tsallis-INF Algorithm in Stochastically Constrained Adversarial Bandits and Stochastic Bandits with Adversarial Corruptions (2103.12487v2)

Abstract: We derive improved regret bounds for the Tsallis-INF algorithm of Zimmert and Seldin (2021). We show that in adversarial regimes with a $(\Delta,C,T)$ self-bounding constraint the algorithm achieves $\mathcal{O}\left(\left(\sum_{i\neq i^*} \frac{1}{\Delta_i}\right)\log_+\left(\frac{(K-1)T}{\left(\sum_{i\neq i^*} \frac{1}{\Delta_i}\right)^2}\right)+\sqrt{C\left(\sum_{i\neq i^*}\frac{1}{\Delta_i}\right)\log_+\left(\frac{(K-1)T}{C\sum_{i\neq i^*}\frac{1}{\Delta_i}}\right)}\right)$ regret bound, where $T$ is the time horizon, $K$ is the number of arms, $\Delta_i$ are the suboptimality gaps, $i^*$ is the best arm, $C$ is the corruption magnitude, and $\log_+(x) = \max\left(1,\log x\right)$. The regime includes stochastic bandits, stochastically constrained adversarial bandits, and stochastic bandits with adversarial corruptions as special cases. Additionally, we provide a general analysis, which allows to achieve the same kind of improvement for generalizations of Tsallis-INF to other settings beyond multiarmed bandits.