Constrained Feedback Learning for Non-Stationary Multi-Armed Bandits
This addresses a practical limitation in dynamic decision-making systems where feedback is scarce, representing a novel extension rather than an incremental improvement.
The paper tackles the problem of non-stationary multi-armed bandits with constrained feedback, where reward information is limited, by proposing the first prior-free algorithm that achieves near-optimal dynamic regret of Õ(K^(1/3) V_T^(1/3) T / B^(1/3)).
Non-stationary multi-armed bandits enable agents to adapt to changing environments by incorporating mechanisms to detect and respond to shifts in reward distributions, making them well-suited for dynamic settings. However, existing approaches typically assume that reward feedback is available at every round - an assumption that overlooks many real-world scenarios where feedback is limited. In this paper, we take a significant step forward by introducing a new model of constrained feedback in non-stationary multi-armed bandits, where the availability of reward feedback is restricted. We propose the first prior-free algorithm - that is, one that does not require prior knowledge of the degree of non-stationarity - that achieves near-optimal dynamic regret in this setting. Specifically, our algorithm attains a dynamic regret of $\tilde{\mathcal{O}}({K^{1/3} V_T^{1/3} T }/{ B^{1/3}})$, where $T$ is the number of rounds, $K$ is the number of arms, $B$ is the query budget, and $V_T$ is the variation budget capturing the degree of non-stationarity.