A Simple and Optimal Policy Design for Online Learning with Safety against Heavy-tailed Risk
David Simchi-Levi, Zeyu Zheng, Feng Zhu
摘要
We consider the classical multi-armed bandit problem and design simple-to-implement new policies that simultaneously enjoy two properties: worst-case optimality for the expected regret, and safety against heavy-tailed risk for the regret distribution. Recently, [10] showed that information-theoretic optimized bandit policies as well as standard UCB policies suffer from some serious heavy-tailed risk; that is, the probability of incurring a linear regret slowly decays at a polynomial rate of 1 /T , as T (the time horizon) increases. Inspired by their result, we further show that any policy that incurs an instance-dependent O (ln T ) regret must incur a linear regret with probability Ω(poly(1 /T )) and that the heavy-tailed risk actually exists for all “instance-dependent consistent" policies. Next, for the two-armed bandit setting, we provide a simple policy design that (i) has the worst-case optimality for the expected regret at order ˜ O ( √ T ) and (ii) has the worst-case tail probability of incurring a linear regret decay at an exponential rate exp( − Ω( √ T )) . We further prove that this exponential decaying rate of the tail probability is optimal across all policies that have worst-case optimality for the expected regret. Finally, we generalize the policy design and analysis to the general setting with an arbitrary K number of arms. We provide detailed characterization of the tail probability bound for any regret threshold under our policy design. Numerical experiments are conducted to illustrate the theoretical findings. Our results reveal insights on the incompatibility between consistency and light-tailed risk, whereas indicate that worst-case optimality on expected regret and light-tailed risk are compatible.
问问这篇 Paper
智能体会读完全文。
Lune 把这篇 Paper 索引到了每一个公式,引用它的顶会 Paper 也一样。你提问,回答直接引用原文。
引用它的顶会 Paper2
- Stochastic Multi-armed Bandits: Optimal Trade-off among Optimality, Consistency, and Tail RiskDavid Simchi-Levi, Zeyu Zheng, Feng ZhuNeurIPS 2023 · 被引用 8 次
- Adaptive Variance Inflation in Thompson Sampling: Efficiency, Safety, Robustness, and BeyondFeng Zhu, David Simchi-LeviNeurIPS 2025 · 被引用 3 次
它引用的顶会 Paper9
- Thompson Sampling Algorithms for Mean-Variance BanditsQiuyu Zhu, Vincent Y. F. TanICML 2020 · 被引用 57 次
- Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributionsPrashanth L. A., Krishna P. Jagannathan, Ravi Kumar KollaICML 2020 · 被引用 53 次
- A Closer Look at the Worst-case Behavior of Multi-armed Bandit AlgorithmsAnand Kalvit, Assaf ZeeviNeurIPS 2021 · 被引用 48 次
- Optimal Thompson Sampling strategies for support-aware CVaR banditsDorian Baudry, Romain Gautron, Emilie Kaufmann, Odalric MaillardICML 2021 · 被引用 40 次
- Optimal Algorithms for Stochastic Multi-Armed Bandits with Heavy Tailed RewardsKyungjae Lee, Hongjun Yang, Sungbin Lim, Songhwai OhNeurIPS 2020 · 被引用 34 次
相关 Paper
- Adaptive Best-of-Both-Worlds Algorithm for Heavy-Tailed Multi-Armed BanditsJiatai Huang, Yan Dai, Longbo HuangICML 2022 · 被引用 24 次
- uniINF: Best-of-Both-Worlds Algorithm for Parameter-Free Heavy-Tailed MABsYu Chen, Jiatai Huang, Yan Dai, Longbo HuangICLR 2025
- Taming Heavy-Tailed Losses in Adversarial Bandits and the Best-of-Both-Worlds SettingDuo Cheng, Xingyu Zhou, Bo JiNeurIPS 2024 · 被引用 3 次
- Fixing the Loose Brake: Exponential-Tailed Stopping Time in Best Arm IdentificationKapilan Balagopalan, Tuan Ngo Nguyen, Yao Zhao, Kwang-Sung JunICML 2025
- Pareto Optimal Risk-Agnostic Distributional Bandits with Heavy-Tail RewardsKyungjae Lee, Dohyeong Kim, Taehyun Cho, Chaeyeon Kim 等NeurIPS 2025
