Improved Online Confidence Bounds for Multinomial Logistic Bandits

In this paper, we propose an improved online confidence bound for multinomial logistic (MNL) models and apply this result to MNL bandits, achieving variance-dependent optimal regret. Recently, Lee & Oh (2024) established an online confidence bound for MNL models and achieved nearly minimax-optimal regret in MNL bandits. However, their results still depend on the norm-boundedness of the unknown parameter $B$ and the maximum size of possible outcomes $K$. To address this, we first derive an online confidence bound of $\mathcal{O} (\sqrt{d \log t} + B )$, which is a significant improvement over the previous bound of $\mathcal{O} (B \sqrt{d} \log t \log K )$ (Lee & Oh, 2024). This is mainly achieved by establishing tighter self-concordant properties of the MNL loss and introducing a novel intermediary term to bound the estimation error. Using this new online confidence bound, we propose a constant-time algorithm, **OFU-MNL++**, which achieves a variance-dependent regret bound of $\mathcal{O} \Big( d \log T \sqrt{ \sum_{t=1}^T \sigma_t^2 } \Big) $ for sufficiently large $T$, where $\sigma_t^2$ denotes the variance of the rewards at round $t$, $d$ is the dimension of the contexts, and $T$ is the total number of rounds. Furthermore, we introduce an Maximum Likelihood Estimation (MLE)-based algorithm that achieves an anytime, **OFU-M$^2$NL**, $\operatorname{poly}(B)$-free regret of $\mathcal{O} \Big( d \log (BT) \sqrt{ \sum_{t=1}^T \sigma_t^2 } \Big) $.

Many AI systems repeatedly face the challenge of choosing from multiple options — such as which product to recommend or which ad to show — while learning from user feedback to improve over time. This paper tackles that challenge and proposes a new algorithm that achieves state-of-the-art performance in both learning efficiency and computational speed.Our method enables AI systems to make smarter, more confident decisions even under uncertainty. It introduces a more effective way to gauge how reliable the system’s knowledge is, while avoiding the heavy computations that previous methods require.As a result, our algorithm is faster, more scalable, and easier to deploy in real-world applications. It helps AI systems learn quickly, use fewer resources, and make better choices — enabling more responsive and intelligent tools for recommendation, search, and personalized services.