Regret Bounds for Adversarial Contextual Bandits with General Function Approximation and Delayed Feedback

Orin Levy, Liad Erez, Alon Cohen, Yishay Mansour

Keywords: Regret, Bandits, Contextual Bandits, Delayed Feedback, Function Approximation

TL;DR: We present regret bounds for adversarial contextual bandits with general function approximation under delayed bandit feedback.

Abstract:

We present regret minimization algorithms for the contextual multi-armed bandit (CMAB) problem over $K$ actions in the presence of delayed feedback, a scenario where loss observations arrive with delays chosen by an adversary.

As a preliminary result, assuming direct access to a finite policy class $\Pi$ we establish an optimal expected regret bound of $ O (\sqrt{KT \log |\Pi|} + \sqrt{D \log |\Pi|)} $ where $D$ is the sum of delays.
For our main contribution, we study the general function approximation setting over a (possibly infinite) contextual loss function class $ \mathcal{F} $ with access to an online least-square regression oracle $\mathcal{O}$ over $\mathcal{F}$. In this setting, we achieve an expected regret bound of $O(\sqrt{KTR_T(\mathcal{O})} + \sqrt{ d_{\max} D \beta})$ assuming FIFO order, where $d_{\max}$ is the maximal delay, $R_T(\mathcal{O})$ is an upper bound on the oracle's regret and $\beta$ is a stability parameter associated with the oracle.

We complement this general result by presenting a novel stability analysis of a Hedge-based version of Vovk's aggregating forecaster as an oracle implementation for least-square regression over a finite function class $\mathcal{F}$ and show that its stability parameter $\beta$ is bounded by $\log |\mathcal{F}|$, resulting in an expected regret bound of $O(\sqrt{KT \log |\mathcal{F}|} + \sqrt{d_{\max} D \log |\mathcal{F}|})$ which is a $\sqrt{d_{\max}}$ factor away from the lower bound of $\Omega(\sqrt{KT \log |\mathcal{F}|} + \sqrt{D \log |\mathcal{F}|})$ that we also present.

Primary Area: Theory (e.g., control theory, learning theory, algorithmic game theory)

Submission Number: 11840