Continuum armed bandit problem of few variables in high dimensions

Abstract

We consider the stochastic and adversarial settings of continuum armed bandits where the arms are indexed by [0,1]^d. The reward functions r:[0,1]^d -> R are assumed to intrinsically depend on at most k coordinate variables implying r(x_1,..,x_d) = g(x_i_1,..,x_i_k) for distinct and unknown i_1,..,i_k from 1,..,d and some locally Holder continuous g:[0,1]^k -> R with exponent 0 < alpha <= 1. Firstly, assuming (i_1,..,i_k) to be fixed across time, we propose a simple modification of the CAB1 algorithm where we construct the discrete set of sampling points to obtain a bound of O(n^((alpha+k)/(2*alpha+k)) (log n)^((alpha)/(2*alpha+k)) C(k,d)) on the regret, with C(k,d) depending at most polynomially in k and sub-logarithmically in d. The construction is based on creating partitions of 1,..,d into k disjoint subsets and is probabilistic, hence our result holds with high probability. Secondly we extend our results to also handle the more general case where (i_1,...,i_k) can change over time and derive regret bounds for the same.

Tasks

Reproductions