Title: Lipschitz Bandits with Stochastic Delayed Feedback
Primary area: reinforcement learning
Keywords: bandit, Lipschitz bandit

Abstract: The Lipschitz bandit problem extends stochastic bandits to a continuous action set defined over a metric space, where the expected reward function satisfies a Lipschitz condition. In this work, we introduce a new problem of Lipschitz bandit in the presence of stochastic delayed feedback, where the rewards are not observed immediately but after a random delay. We consider both bounded and unbounded stochastic delays, and design algorithms that attain sublinear regret guarantees in each setting. For bounded delays, we propose a delay-aware zooming algorithm that retains the optimal performance of the delay-free setting up to an additional term that scales with the maximum delay $\tau_{\max}$. For unbounded delays, we propose a novel phased learning strategy that accumulates reliable feedback over carefully scheduled intervals, and establish a regret lower bound showing that our method is nearly optimal up to logarithmic factors.
Finally, we present experimental results to demonstrate the efficiency of our algorithms under various delay scenarios.

TL;DR: We introduce a new problem of Lipschitz bandit in the presence of stochastic delayed feedback