A Near-Optimal Best-of-Both-Worlds Algorithm for Online Learning with Feedback Graphs

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We consider online learning with feedback graphs, a sequential decision-making framework where the learner's feedback is determined by a directed graph over the action set. We present a computationally efficient algorithm for learning in this framework that simultaneously achieves near-optimal regret bounds in both stochastic and adversarial environments. The bound against oblivious adversaries is O~(αT−−−√), where T is the time horizon and α is the independence number of the feedback graph. The bound against stochastic environments is O((lnT)2maxS∈I(G)∑i∈SΔ−1i) where I(G) is the family of all independent sets in a suitably defined undirected version of the graph and Δi are the suboptimality gaps. The algorithm combines ideas from the EXP3++ algorithm for stochastic and adversarial bandits and the EXP3.G algorithm for feedback graphs with a novel exploration scheme. The scheme, which exploits the structure of the graph to reduce exploration, is key to obtain best-of-both-worlds guarantees with feedback graphs. We also extend our algorithm and results to a setting where the feedback graphs are allowed to change over time.
Original languageEnglish
Title of host publicationAdvances in Neural Information Processing Systems 35 (NeurIPS 2022)
PublisherNeurIPS Proceedings
Publication date2022
Pages35035-35048
ISBN (Electronic)9781713871088
Publication statusPublished - 2022
Event36th Conference on Neural Information Processing Systems (NeurIPS 2022). - New Orleans/ Virtual, United States
Duration: 28 Nov 20229 Dec 2022

Conference

Conference36th Conference on Neural Information Processing Systems (NeurIPS 2022).
LandUnited States
ByNew Orleans/ Virtual
Periode28/11/202209/12/2022

ID: 383100739