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Meta-Learning Adversarial Bandits
Nina Balcan · Keegan Harris · Mikhail Khodak · Steven Wu

We study online learning with bandit feedback across multiple tasks, with the goal of improving average performance across tasks if they are similar according to some natural task-similarity measure. As the first to target the adversarial setting, we design a unified meta-algorithm that yields setting-specific guarantees for two important cases: multi-armed bandits (MAB) and bandit linear optimization (BLO). For MAB, the meta-algorithm tunes the initialization, step-size, and entropy parameter of the Tsallis-entropy generalization of the well-known Exp3 method, with the task-averaged regret provably improving if the entropy of the distribution over estimated optima-in-hindsight is small. For BLO, we learn the initialization, step-size, and boundary-offset of online mirror descent (OMD) with self-concordant barrier regularizers, showing that task-averaged regret varies directly with a measure induced by these functions on the interior of the action space. Our adaptive guarantees rely on proving that unregularized follow-the-leader combined with multiplicative weights is enough to online learn a non-smooth and non-convex sequence of affine functions of Bregman divergences that upper-bound the regret of OMD.

Author Information

Nina Balcan (Carnegie Mellon University)
Nina Balcan

Maria-Florina Balcan is an Associate Professor in the School of Computer Science at Carnegie Mellon University. Her main research interests are machine learning and theoretical computer science. Her honors include the CMU SCS Distinguished Dissertation Award, an NSF CAREER Award, a Microsoft Faculty Research Fellowship, a Sloan Research Fellowship, and several paper awards. She has served as a Program Committee Co-chair for COLT 2014, a Program Committee Co-chair for ICML 2016, and a board member of the International Machine Learning Society.

Keegan Harris (Carnegie Mellon University)
Mikhail Khodak (CMU)
Steven Wu (Carnegie Mellon University)

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