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A Closer Look at the Worst-case Behavior of Multi-armed Bandit Algorithms

NeurIPS 2021 · Bandits and online learning › Multi-armed bandits · approach: Non-stationary and structured-reward bandits · 6 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use canonical UCB with ρ > 1Two-armed MAB with small gap · Small gap, Δ = o(√(log n/n))optimal-arm sampling rate: N_{i*}(n)/n → 1/2 in probabilityHelped
Use canonical UCB with ρ > 1Two-armed MAB · Large gap, Δ = ω(√(log n/n))optimal-arm sampling rate: N_{i*}(n)/n → 1 in probabilityHelped
Scale the gap as Δ ∼ √(θ log n/n)UCB (ρ > 1) · Two-armed MAB, moderate gapoptimal-arm sampling rate: N_{i*}(n)/n → λ*ρ(θ) in probability; λ*ρ(0) = 1/2; λ*ρ(θ) → 1 as θ → ∞Mixed
Use UCB when every arm is optimalK-armed MAB · All arms optimalper-arm sampling rate: N_i(n)/n → 1/K in probabilityHelped
Use UCB when optimal arms are well-separated from inferior armsK-armed MAB · Well-separated optimal armsper-optimal-arm sampling rate: N_i(n)/n → 1/|I| in probabilityHelped
Use Beta-prior Thompson Sampling rather than UCB for identical Bernoulli arms with q = 1Two-armed MAB · Bernoulli(q) arms, q = 1arm-sampling balance: N_1(n)/n ⇒ Uniform distribution on [0,1]Hurt
Use Beta-prior Thompson Sampling on identical Bernoulli arms with q = 0Two-armed MAB · Bernoulli(q) arms, q = 0arm 1 sampling rate: N_1(n)/n ⇒ 1/2No clear effect
Use canonical UCB with ρ > 1 in the moderate-gap regimeTwo-armed MAB · Δ ∼ √(θ log n/n)stochastic regret: R_n^π/√(n log n) ⇒ h_ρ(θ)Hurt
Use canonical UCB with ρ > 1 at diffusion-scale gapsTwo-armed MAB · Δ = c/√nnormalized regret process: R^π_{⌊nt⌋}/√n ⇒ Δ₀t/2 + √((σ₁²+σ₂²)/2) B̃(t)Mixed
Increase the UCB exploration coefficient ρUCB · Moderate-gap worst-case regretmaximum asymptotic regret constant: 0.2367, 0.3192, 0.3909, 0.4514Hurt

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