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No-Regret Algorithms for Heavy-Tailed Linear Bandits

ICML 2016 · Bandits and online learning › Contextual bandits and Thompson sampling · approach: Linear and generalized linear bandits · 12 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
dynamic truncation of losses (alpha_t = t^{1/(2(1+eps))}) in the mean estimatorlinear bandit confidence-region algorithm · synthetic heavy-tailed noise, T=10^6regret: about 25% lower regretHelped
median-of-means estimator with batched updates (m = T^{2eps/(1+3eps)} batches)linear bandit confidence-region algorithm · theoretical regret boundregret exponentHelped
median-of-means estimator in place of ridge regression in the regime eps→1linear bandit confidence-region algorithm · theoretical regret bound, all moments existregret exponent: eO(vT^{2/3}) vs eO(vT^{1/2}) for truncationHurt

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