A New Look at Dynamic Regret for Non-Stationary Stochastic Bandits

We study the non-stationary stochastic multi-armed bandit problem, where the reward statistics of each arm may change several times during the course of learning. The performance of a learning algorithm is evaluated in terms of its dynamic regret, which is defined as the difference between the expected cumulative reward of an agent choosing the optimal arm in every time step and the cumulative reward of the learning algorithm. One way to measure the hardness of such environments is to consider how many times the identity of the optimal arm can change. We propose a method that achieves, in K-armed bandit problems, a near-optimal ($O) over tilde (p KN (S + 1)) dynamic regret, where N is the time horizon of the problem and S is the number of times the identity of the optimal arm changes, without prior knowledge of S. Previous works for this problem obtain regret bounds that scale with the number of changes (or the amount of change) in the reward functions, which can be much larger, or assume prior knowledge of S to achieve similar bounds.

Automated summary

This paper studies the dynamic regret performance of learning algorithms in the non-stationary stochastic multi-armed bandit problem. We propose a method that achieves near-optimal dynamic regret in K-armed bandit problems without prior knowledge of the number of changes in the optimal arm.