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Tracking the Best Expert in Non-stationary Stochastic Environments

NeurIPS 2016 · Bandits and online learning › Online convex optimization and games · approach: Best-of-both-worlds bandit algorithms

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use full-information GD-based algorithm (Algorithm 2) with learning rate η=sqrt(Γ/(Λ+KΓ)) for switching distributionsfull-information switching distributions · switching distributions (Γ, Λ)expected dynamic regretHelped
Bandit regret lower bound for switching distributions even with zero variance (Λ=0) and constant gapsbandit algorithms, switching distributions · switching distributions with Γ≥2worst-case expected regretNo clear effect
Use UCB-V-based restarted bandit algorithm (Rerun-UCB-V) with variance-aware confidence intervals in blocks of size Bbandit drifting distributions · drifting distributions (V, Λ)expected dynamic regretHelped
Add a constant-regret-at-interval-boundary fix: reset learning rate per interval but use cumulative past deviations ||ℓτ−ℓτ−1||² instead of a fresh resetfull-information drifting distributions algorithm · drifting distributions (V, Λ)expected dynamic regretHelped
Parameter-free Optimistic-Adapt-ML-Prod with sleeping experts reduction (no knowledge of Γ, V, Λ)full-information switching and drifting distributions · switching (Γ,Λ) and drifting (V,Λ) distributionsexpected dynamic regretNo clear effect

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