Improved Regret Analysis for Variance-Adaptive Linear Bandits and Horizon-Free Linear Mixture MDPs
Main Conference Track
Authors: Yeoneung Kim, Insoon Yang, Kwang-Sung Jun

In online learning problems, exploiting low variance plays an important role in obtaining tight performance guarantees yet is challenging because variances are often not known a priori.  Recently, considerable progress has been made by Zhang et al. (2021) where they obtain a variance-adaptive regret bound for linear bandits without knowledge of the variances and a horizon-free regret bound for linear mixture Markov decision processes (MDPs).  In this paper, we present novel analyses that improve their regret bounds significantly.  For linear bandits, we achieve $\tilde O(\min\{d\sqrt{K}, d^{1.5}\sqrt{\sum_{k=1}^K \sigma_k^2}\} + d^2)$ where $d$ is the dimension of the features, $K$ is the time horizon, and $\sigma_k^2$ is the noise variance at time step $k$, and $\tilde O$ ignores polylogarithmic dependence, which is a factor of $d^3$ improvement.  For linear mixture MDPs with the assumption of maximum cumulative reward in an episode being in $[0,1]$, we achieve a horizon-free regret bound of $\tilde O(d \sqrt{K} + d^2)$ where $d$ is the number of base models and $K$ is the number of episodes.  This is a factor of $d^{3.5}$ improvement in the leading term and $d^7$ in the lower order term.  Our analysis critically relies on a novel peeling-based regret analysis that leverages the elliptical potential `count' lemma.