Achieving Near Instance-Optimality and Minimax-Optimality in Stochastic and Adversarial Linear Bandits Simultaneously

Chung-Wei Lee, Haipeng Luo, Chen-Yu Wei, Mengxiao Zhang, Xiaojin Zhang

Abstract: In this work, we develop linear bandit algorithms that automatically adapt to different environments. By plugging a novel loss estimator into the optimization problem that characterizes the instanc...