Reliable Scale-Free Bandits via Empirical Likelihood

Abstract: We study stochastic bandits without knowledge of reward scales or tail parameters. Almost-sure regret guarantees describe eventual learning but do not quantify expected performance or the risk of large regret in a finite run. We introduce $\texttt{EL-F}$, an anytime empirical-likelihood (EL) extension of the $g$-Forcing policy of Cowan and Katehakis (2020), and characterize its performance at three levels. First, for integrable rewards and non-decreasing, diverging exploration schedules $g$ with vanishing increments, $\texttt{EL-F}$ preserves the $g$-Forcing asymptotics for pseudo-regret $R(T)$: $R(T)/g(T)\to\sum_{i:Δ<em>i&gt;0}Δ_i$ almost surely as $T\to\infty$, where $Δ_i$ is the suboptimality gap of arm $i$. Second, on every sub-exponential instance, for non-decreasing $g(t)=ω(\log t)$ satisfying a mild feasibility condition, expected pseudo-regret is at most $g(T)\sum</em>{i:Δ<em>i&gt;0}Δ_i+C</em>{\underline{P}}$, where $C_{\underline{P}}$ is an instance-dependent constant independent of $T$. Moreover, we also establish finite-time tail bounds with super-polynomial decay in regret beyond the forced-exploration budget. For slowly varying $g$, we determine the exact exponent of linear regret deviations on two-armed Gaussian instances with common variance and establish a matching lower bound among policies satisfying the same expected-regret budget on every such Gaussian instance. These quantitative guarantees also cover the greedy variant obtained at zero EL radius. A fixed positive radius introduces local optimism while preserving the leading asymptotic regret. We establish coupled pathwise dominance over the greedy variant in two-armed bandits with a deterministic suboptimal arm. Experiments demonstrate reductions in prolonged suboptimal allocation compared with $g$-Forcing on challenging instances.