No-Regret is not enough! Bandits with General Constraints through Adaptive Regret Minimization

Martino Bernasconi, Matteo Castiglioni, Andrea Celli

Abstract: In the bandits with knapsacks framework (BwK) the learner has $m$ resource-consumption (i.e., packing) constraints. We focus on the generalization of BwK in which the learner has a set of general long-term constraints. The goal of the learner is to maximize their cumulative reward, while at the same time achieving small cumulative constraints violations. In this scenario, there exist simple instances where conventional methods for BwK fail to yield sublinear violations of constraints. We show that it is possible to circumvent this issue by requiring the primal and dual algorithm to be weakly adaptive. Indeed, even without any information on the Slater's parameter $\rho$ characterizing the problem, the interaction between weakly adaptive primal and dual regret minimizers leads to a ``self-bounding'' behavior of dual variables. In particular, their norm remains suitably upper bounded across the entire time horizon even without explicit projection steps. By exploiting this property, we provide best-of-both-worlds guarantees for stochastic and adversarial inputs. In the first case, we show that the algorithm guarantees sublinear regret. In the latter case, we establish a tight competitive ratio of $\rho/(1+\rho)$. In both settings, constraints violations are guaranteed to be sublinear in time. Finally, this results allow us to obtain new result for the problem of contextual bandits with linear constraints, providing the first no-$\alpha$-regret guarantees for adversarial contexts.

Lay Summary: This research focuses on a type of decision-making problem where an agent must make a series of choices to get the best possible results while satisfying certain constraints, such as not using too many resources over time. The paper presents a new approach that exploits adaptivity to circumvent limitations of previous approaches.

Primary Area: Theory->Online Learning and Bandits

Keywords: bandits with knapsacks, long-term constraints, adaptive regret

Submission Number: 3833