Dynamic Balancing for Model Selection in Bandits and RL

We propose a framework for model selection by combining base algorithms in stochastic bandits and reinforcement learning. We require a candidate regret bound for each base algorithm that may or may not hold. We select base algorithms to play in each round using a "balancing condition" on the candidate regret bounds. Our approach simultaneously recovers previous worst-case regret bounds, while also obtaining much smaller regret in natural scenarios when some base learners significantly exceed their candidate bounds. Our framework is relevant in many settings, including linear bandits and MDPs with nested function classes, linear bandits with unknown misspecification, and tuning confidence parameters of algorithms such as LinUCB. Moreover, unlike recent efforts in model selection for linear stochastic bandits, our approach can be extended to consider adversarial rather than stochastic contexts.