Scale-Free Adversarial Multi-Armed Bandit with Arbitrary Feedback Delays

Abstract: We consider the Scale-Free Adversarial Multi-Armed Bandit (MAB) problem with unrestricted feedback delays. In contrast to the standard assumption that all losses are $[0,1]$-bounded, in our setting, losses can fall in a general bounded interval $[-L, L]$, unknown to the agent beforehand. Furthermore, the feedback of each arm pull can experience arbitrary delays. We propose a novel approach named Scale-Free Delayed INF (SFD-INF) for this novel setting, which combines a recent "convex combination trick" together with a novel doubling and skipping technique. We then present two instances of SFD-INF, each with carefully designed delay-adapted learning scales. The first one SFD-TINF uses $\frac 12$-Tsallis entropy regularizer and can achieve $\widetilde{\mathcal O}(\sqrt{K(D+T)}L)$ regret when the losses are non-negative, where $K$ is the number of actions, $T$ is the number of steps, and $D$ is the total feedback delay. This bound nearly matches the $\Omega((\sqrt{KT}+\sqrt{D\log K})L)$ lower-bound when regarding $K$ as a constant independent of $T$. The second one, SFD-LBINF, works for general scale-free losses and achieves a small-loss style adaptive regret bound $$\widetilde{\mathcal O}(\sqrt{K\mathbb{E}[\tilde{\mathfrak L}_T<sup>2]}+\sqrt{KDL})$$, which falls to the $\widetilde{\mathcal O}(\sqrt{K(D+T)}L)$ regret in the worst case and is thus more general than SFD-TINF despite a more complicated analysis and several extra logarithmic dependencies. Moreover, both instances also outperform the existing algorithms for non-delayed (i.e., $D=0$) scale-free adversarial MAB problems, which can be of independent interest.