Adaptive Smooth Non-Stationary Bandits
<|reference_start|>Adaptive Smooth Non-Stationary Bandits: We study a $K$-armed non-stationary bandit model where rewards change smoothly, as captured by H\"{o}lder class assumptions on rewards as functions of time. Such smooth changes are parametrized by a H\"{o}lder exponent $\beta$ and coefficient $\lambda$. While various sub-cases of this general model have been studied in isolation, we first establish the minimax dynamic regret rate generally for all $K,\beta,\lambda$. Next, we show this optimal dynamic regret can be attained adaptively, without knowledge of $\beta,\lambda$. To contrast, even with parameter knowledge, upper bounds were only previously known for limited regimes $\beta\leq 1$ and $\beta=2$ (Slivkins, 2014; Krishnamurthy and Gopalan, 2021; Manegueu et al., 2021; Jia et al.,2023). Thus, our work resolves open questions raised by these disparate threads of the literature.   We also study the problem of attaining faster gap-dependent regret rates in non-stationary bandits. While such rates are long known to be impossible in general (Garivier and Moulines, 2011), we show that environments admitting a safe arm (Suk and Kpotufe, 2022) allow for much faster rates than the worst-case scaling with $\sqrt{T}$. While previous works in this direction focused on attaining the usual logarithmic regret bounds, as summed over stationary periods, our new gap-dependent rates reveal new optimistic regimes of non-stationarity where even the logarithmic bounds are pessimistic. We show our new gap-dependent rate is tight and that its achievability (i.e., as made possible by a safe arm) has a surprisingly simple and clean characterization within the smooth H\"{o}lder class model.<|reference_end|>
@article{suk2024adaptive,
    title={Adaptive Smooth Non-Stationary Bandits},
    author={Joe Suk},
    journal={arXiv preprint arXiv:2407.08654},
    year={2024},
    archivePrefix={arXiv},
    eprint={2407.08654},
    primaryClass={stat.ML cs.LG math.ST stat.TH}
}