On the Complexity of Adversarial Decision MakingDownload PDF

Published: 31 Oct 2022, Last Modified: 16 Jan 2023NeurIPS 2022 AcceptReaders: Everyone
Keywords: Decision making, learning theory, bandits, reinforcement learning theory, online learning, adversarial, non-stochastic, decision-estimation coefficient, information ratio
Abstract: A central problem in online learning and decision making---from bandits to reinforcement learning---is to understand what modeling assumptions lead to sample-efficient learning guarantees. We consider a general adversarial decision making framework that encompasses (structured) bandit problems with adversarial rewards and reinforcement learning problems with adversarial dynamics. Our main result is to show---via new upper and lower bounds---that the Decision-Estimation Coefficient, a complexity measure introduced by Foster et al. in the stochastic counterpart to our setting, is necessary and sufficient to obtain low regret for adversarial decision making. However, compared to the stochastic setting, one must apply the Decision-Estimation Coefficient to the convex hull of the class of models (or, hypotheses) under consideration. This establishes that the price of accommodating adversarial rewards or dynamics is governed by the behavior of the model class under convexification, and recovers a number of existing results --both positive and negative. En route to obtaining these guarantees, we provide new structural results that connect the Decision-Estimation Coefficient to variants of other well-known complexity measures, including the Information Ratio of Russo and Van Roy and the Exploration-by-Optimization objective of Lattimore and György.
TL;DR: We consider an adversarial decision-making framework encompassing adversarial bandits and RL, and show that a "convexified" version of the Decision-Estimation Coefficient of Foster et al. is necessary and sufficient for low regret.
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