Combinatorial semi-bandit with known covariance
This addresses dependency structure in bandit problems for machine learning and optimization, offering a novel approach beyond worst-case or independence assumptions.
The paper tackles the combinatorial stochastic semi-bandit problem by quantifying arm dependencies and designing an algorithm based on linear regression, proving it is optimal up to a poly-logarithmic factor.
The combinatorial stochastic semi-bandit problem is an extension of the classical multi-armed bandit problem in which an algorithm pulls more than one arm at each stage and the rewards of all pulled arms are revealed. One difference with the single arm variant is that the dependency structure of the arms is crucial. Previous works on this setting either used a worst-case approach or imposed independence of the arms. We introduce a way to quantify the dependency structure of the problem and design an algorithm that adapts to it. The algorithm is based on linear regression and the analysis develops techniques from the linear bandit literature. By comparing its performance to a new lower bound, we prove that it is optimal, up to a poly-logarithmic factor in the number of pulled arms.