Complete Policy Regret Bounds for Tallying Bandits

Abstract: Policy regret is a well established notion of measuring the performance of an online learning algorithm against an adaptive adversary. We study restrictions on the adversary that enable efficient minimization of the \emph{complete policy regret}, which is the strongest possible version of policy regret. We identify a gap in the current theoretical understanding of what sorts of restrictions permit tractability in this challenging setting. To resolve this gap, we consider a generalization of the stochastic multi armed bandit, which we call the \emph{tallying bandit}. This is an online learning setting with an $m$-memory bounded adversary, where the average loss for playing an action is an unknown function of the number (or tally) of times that the action was played in the last $m$ timesteps. For tallying bandit problems with $K$ actions and time horizon $T$, we provide an algorithm that w.h.p achieves a complete policy regret guarantee of $\tilde{\mathcal{O}}(mK\sqrt{T})$, where the $\tilde{\mathcal{O}}$ notation hides only logarithmic factors. We additionally prove an $\tilde\Omega(\sqrt{m K T})$ lower bound on the expected complete policy regret of any tallying bandit algorithm, demonstrating the near optimality of our method.