On Optimal Robustness to Adversarial Corruption in Online Decision Problems
Datasets and Benchmarks Track
Authors: Shinji Ito

This paper considers two fundamental sequential decision-making problems: the problem of prediction with expert advice and the multi-armed bandit problem.  We focus on stochastic regimes in which an adversary may corrupt losses, and we investigate what level of robustness can be achieved against adversarial corruption.  The main contribution of this paper is to show that optimal robustness can be expressed by a square-root dependency on the amount of corruption.  More precisely, we show that two classes of algorithms, anytime Hedge with decreasing learning rate and algorithms with second-order regret bounds, achieve $O( \frac{\log N}{\Delta} + \sqrt{ \frac{C \log N }{\Delta} } )$-regret, where $N, \Delta$, and $C$ represent the number of experts, the gap parameter, and the corruption level, respectively.  We further provide a matching lower bound, which means that this regret bound is tight up to a constant factor. For the multi-armed bandit problem, we also provide a nearly-tight lower bound up to a logarithmic factor.