Make the Minority Great Again: First-Order Regret Bound for Contextual Bandits


Zeyuan Allen-Zhu, Sebastien Bubeck, Yuanzhi Li ;
Proceedings of the 35th International Conference on Machine Learning, PMLR 80:186-194, 2018.


Regret bounds in online learning compare the player’s performance to $L*$, the optimal performance in hindsight with a fixed strategy. Typically such bounds scale with the square root of the time horizon $T$. The more refined concept of first-order regret bound replaces this with a scaling $\sqrt{L*}$, which may be much smaller than $\sqrt{T}$.It is well known that minor variants of standard algorithms satisfy first-order regret bounds in the full information and multi-armed bandit settings. In a COLT 2017 open problem, Agarwal, Krishnamurthy, Langford, Luo, and Schapire raised the issue that existing techniques do not seem sufficient to obtain first-order regret bounds for the contextual bandit problem. In the present paper, we resolve this open problem by presenting a new strategy based on augmenting the policy space.

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