As with all my handwritten notes, this has the usual disclaimer: these posts are just so I can use nice inedxed search to easily search for my notes, which are sufficient for me to recall talks and papers but probably not much use to anyone else. Paper here. Slides here, password protected, because Alex asked me not to distribute them (sorry, folks).

The Lipschitz multi-armed bandit (MAB) problem generalizes the classical multi-armed bandit problem by assuming one is given side information consisting of a priori upper bounds on the difference in expected payoff between certain pairs of strategies. Classical results of (Lai and Robbins 1985) and (Auer et al. 2002) imply a logarithmic regret bound for the Lipschitz MAB problem on finite metric spaces. Recent results on continuum-armed bandit problems and their generalizations imply lower bounds of $\sqrt{t}$, or stronger, for many infinite metric spaces such as the unit interval. Is this dichotomy universal? We prove that the answer is yes: for every metric space, the optimal regret of a Lipschitz MAB algorithm is either bounded above by any $f\in \omega(\log t)$, or bounded below by any $g\in o(\sqrt{t})$. Perhaps surprisingly, this dichotomy does not coincide with the distinction between finite and infinite metric spaces; instead it depends on whether the completion of the metric space is compact and countable. Our proof connects upper and lower bound techniques in online learning with classical topological notions such as perfect sets and the Cantor-Bendixson theorem. Among many other results, we show a similar dichotomy for the “full-feedback” (a.k.a., “best-expert”) version.

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