Multiarmed Bandits With Limited Expert Advice
arXiv:1306.4653
Abstract
We solve the COLT 2013 open problem of \citet{SCB} on minimizing regret in the setting of advice-efficient multiarmed bandits with expert advice. We give an algorithm for the setting of K arms and N experts out of which we are allowed to query and use only M experts' advices in each round, which has a regret bound of \tilde{O}\bigP{\sqrt{\frac{\min\{K, M\} N}{M} T}} after T rounds. We also prove that any algorithm for this problem must have expected regret at least \tildeΩ\bigP{\sqrt{\frac{\min\{K, M\} N}{M}T}}, thus showing that our upper bound is nearly tight.
Updated with tighter upper bound based on PolyINF algorithm, lower bound nearly matching the upper bound, and fixed some typos