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arXiv · 2211.17154

On Regret-optimal Cooperative Nonstochastic Multi-armed Bandits

Jialin Yi·Milan Vojnović
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Abstract

We consider the nonstochastic multi-agent multi-armed bandit problem with agents collaborating via a communication network with delays. We show a lower bound for individual regret of all agents. We show that with suitable regularizers and communication protocols, a collaborative multi-agent \emph{follow-the-regularized-leader} (FTRL) algorithm has an individual regret upper bound that matches the lower bound up to a constant factor when the number of arms is large enough relative to degrees of agents in the communication graph. We also show that an FTRL algorithm with a suitable regularizer is regret optimal with respect to the scaling with the edge-delay parameter. We present numerical experiments validating our theoretical results and demonstrate cases when our algorithms outperform previously proposed algorithms.

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BibTeXRIS

Jialin Yi, Milan Vojnović. 2022-11-30. On Regret-optimal Cooperative Nonstochastic Multi-armed Bandits. https://doi.org/10.5555/3545946.3598780

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