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This research introduces M-LCB, a novel algorithm for managing portfolios of reinforcement learning and bandit algorithms under strict per-round learning budgets. By balancing decision-making with limited training resources, the method offers theoretical regret bounds that scale efficiently with the number of experts and available budget. The work is significant for optimizing resource allocation in complex sequential decision systems where computational or data constraints are critical.
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Managing Self-Learning Experts under Per-Round Budget Constraints

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arXiv:2510.22654v3 Announce Type: replace Abstract: This paper addresses the problem of sequential decision-making under learning budget constraints. Such settings naturally arise in applications like managing a portfolio of bandit or reinforcement learning (RL) algorithms. We propose a novel UCB-type algorithm, M-LCB, designed to manage a pool of $K$ self-learning experts in a stochastic environment while accounting for a limited per-round learning budget $M$. At each round, M-LCB selects one expert to make a decision and at most $M \le K$ experts to learn. For selection, M-LCB uses confidence bounds constructed from limited prior knowledge about the experts (i.e., mild assumptions) and their observed training losses. We derive anytime regret bounds for M-LCB that scale with the individual regrets of the experts. In particular, if each expert has regret $\tilde O(T^\alpha)$ by round $T$, then M-LCB guarantees an overall regret of $\tilde O\left(\sqrt{KT/M} + (K/M)^{1-\alpha}T^\alpha\right)$ relative to the best expert in hindsight. Finally, we demonstrate the applicability of M-LCB using self-learning experts instantiated as (i) parametric models and (ii) bandit algorithms.

Abstract:This paper addresses the problem of sequential decision-making under learning budget constraints. Such settings naturally arise in applications like managing a portfolio of bandit or reinforcement learning (RL) algorithms. We propose a novel UCB-type algorithm, M-LCB, designed to manage a pool of $K$ self-learning experts in a stochastic environment while accounting for a limited per-round learning budget $M$. At each round, M-LCB selects one expert to make a decision and at most $M \le K$ experts to learn. For selection, M-LCB uses confidence bounds constructed from limited prior knowledge about the experts (i.e., mild assumptions) and their observed training losses. We derive anytime regret bounds for M-LCB that scale with the individual regrets of the experts. In particular, if each expert has regret $\tilde O(T^\alpha)$ by round $T$, then M-LCB guarantees an overall regret of $\tilde O\left(\sqrt{KT/M} + (K/M)^{1-\alpha}T^\alpha\right)$ relative to the best expert in hindsight. Finally, we demonstrate the applicability of M-LCB using self-learning experts instantiated as (i) parametric models and (ii) bandit algorithms.

Machine Learning (cs.LG); Multiagent Systems (cs.MA)

arXiv:2510.22654 [cs.LG]

(or arXiv:2510.22654v3 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2510.22654 Focus to learn more arXiv-issued DOI via DataCite

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