Bias no more: high-probability data-dependent regret bounds for adversarial bandits and MDPs
Chung-Wei Lee, Haipeng Luo, Chen-Yu Wei, Mengxiao Zhang
Besides its simplicity, our approach enjoys several advantages. First, the obtained high-probability regret bounds are data-dependent and could be much smaller than the worst-case bounds, which resolves an open problem asked by Neu (2015). Second, resolving another open problem of Bartlett et al. (2008) and Abernethy and Rakhlin (2009), our approach leads to the first general and efficient algorithm with a high-probability regret bound for adversarial linear bandits, while previous methods are either inefficient or only applicable to specific action sets. Finally, our approach can also be applied to learning adversarial Markov Decision Processes and provides the first algorithm with a high-probability small-loss bound for this problem.
