Adversarial Combinatorial Bandits with General Non-linear Reward Functions

Yanjun Han · Yining Wang · Xi Chen

Keywords: [ Applications -> Computer Vision ] [ Applications -> Computational Photography ] [ Theory -> Online Learning Theory ]

Abstract: In this paper we study the adversarial combinatorial bandit with a known non-linear reward function, extending existing work on adversarial linear combinatorial bandit. {The adversarial combinatorial bandit with general non-linear reward is an important open problem in bandit literature, and it is still unclear whether there is a significant gap from the case of linear reward, stochastic bandit, or semi-bandit feedback.} We show that, with $N$ arms and subsets of $K$ arms being chosen at each of $T$ time periods, the minimax optimal regret is $\widetilde\Theta_{d}(\sqrt{N^d T})$ if the reward function is a $d$-degree polynomial with $d< K$, and $\Theta_K(\sqrt{N^K T})$ if the reward function is not a low-degree polynomial. {Both bounds are significantly different from the bound $O(\sqrt{\mathrm{poly}(N,K)T})$ for the linear case, which suggests that there is a fundamental gap between the linear and non-linear reward structures.} Our result also finds applications to adversarial assortment optimization problem in online recommendation. We show that in the worst-case of adversarial assortment problem, the optimal algorithm must treat each individual $\binom{N}{K}$ assortment as independent.