Achieving adaptivity and optimality for multi-armed bandits using Exponential-Kullback Leibler Maillard Sampling
Hao Qin, Kwang-Sung Jun, Chicheng Zhang
We study the problem of $K$-armed bandits with reward distributions belonging to a one-parameter exponential distribution family. In the literature, several criteria have been proposed to evaluate the performance of such algorithms, including Asymptotic Optimality, Minimax Optimality, Sub-UCB, and variance-adaptive regret bound. Thompson Sampling-based and Upper Confidence Bound-based algorithms have been employed to achieve some of these criteria. However, none of these algorithms simultaneously satisfy all the aforementioned criteria. In this paper, we design an algorithm, Exponential Kullback-LeiblerMaillard Sampling (abbrev. Exp-KL-MS), that achieves multiple optimality criteria simultaneously, including Asymptotic Optimality, minimax ratio with a $\sqrt{\ln (K)}$ factor, Sub-UCB, and a variance-adaptive regret bound. Our algorithm design follows the Minimum Empirical Divergence framework~\citep{honda2011asymptotically,maillard2011apprentissage}, with the exploration probability of arm $a$ proportional to $\text{exp}\left(-L(N_{t-1, a}) \text{KL}(\hatμ_{t-1, a}, \max_{a'} \hatμ_{t-1, a'})\right)$, where $L(\cdot)$ is an inverse temperature function, $N_{t-1, a}$ is the number of times arm $a$ has been pulled before time $t$, $\hatμ_{t-1, a}$ is the empirical mean of arm $a$ before time $t$, and $\text{KL}(\cdot, \cdot)$ is the Kullback-Leibler divergence between two distributions in the one-parameter exponential distribution family. Our analysis allows different choices of inverse temperature function $L(k)$. We also provide numerical simulations demonstrating the effectiveness of our algorithms.
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