Eventually LIL Regret: Almost Sure $\ln\ln T$ Regret for a sub-Gaussian Mixture on Unbounded Data

Shubhada Agrawal, Aaditya Ramdas

Keywords: Regret bounds, unbounded data, Robbins mixture, iterated logarithmic regret, LIL

TL;DR: We prove a regret bound for a sub-Gaussian mixture on unbounded data that is O(log log t) eventually on a set of measure 1

Abstract: We prove that a classic sub-Gaussian mixture proposed by Robbins in a stochastic setting actually satisfies a path-wise (deterministic) regret bound. For every path in a natural ``Ville event'' $\mathcal E_\alpha$, this regret till time $T$ is bounded by $\ln^2(1/\alpha)/V_T + \ln (1/\alpha) + \ln \ln V_T$ up to universal constants, where $V_T$ is a nonnegative, nondecreasing, cumulative variance process. (The bound reduces to $\ln(1/\alpha) + \ln \ln V_T$ if $V_T \geq \ln(1/\alpha)$.) If the data were stochastic, then one can show that $\mathcal E_\alpha$ has probability at least $1-\alpha$ under a wide class of distributions (eg: sub-Gaussian, symmetric, variance-bounded, etc.). In fact, we show that on the Ville event $\mathcal E_0$ of probability one, the regret on every path in $\mathcal E_0$ is eventually bounded by $\ln \ln V_T$ (up to constants). We explain how this work helps bridge the world of adversarial online learning (which usually deals with regret bounds for bounded data), with game-theoretic statistics (which can handle unbounded data, albeit using stochastic assumptions). In short, conditional regret bounds serve as a bridge between stochastic and adversarial betting.

Submission Number: 123