Nash Social Welfare for Multi Armed Bandits: Trajectory-wise Expected and High Probability Regret

Abstract:We study fair multi-armed bandits under the Nash Social Welfare (NSW) objective, which measures performance via the geometric mean of accumulated rewards. Existing work defines Nash regret as $\mathrm{NR}_T = \mu^\star - (\prod_{t=1}^T \mathbb{E}\mu_{I_t})^{1/T}$, where $\mu_{I_t}$ is the mean reward of the recommended arm $I_t$ and $T$ is the horizon. Since it applies the geometric mean to per-round marginal expectations, it ignores the joint distribution of rewards across rounds, leaving the NSW fairness motivation unaddressed at the trajectory level. We propose \emph{trajectory-wise Nash regret} $\widetilde{\mathrm{NR}}_T = \mu^\star - \mathbb{E}[(\prod_{t=1}^T \mu_{I_t})^{1/T}]$, which computes the geometric mean over complete sample paths before taking expectations, capturing NSW fairness more faithfully. By Jensen's inequality, $\widetilde{\mathrm{NR}}_T \geq \mathrm{NR}_T$, making it a strictly stronger metric. We also introduce \emph{high probability Nash regret} $\widehat{\mathrm{NR}}_T = \mu^\star - (\prod_t \mu_{I_t})^{1/T}$, giving the first high probability regret bounds in fair bandits. Our two-phase algorithm, Round Robin Nash Confidence Bound (\texttt{RR-NCB}), combines round robin exploration with a Nash confidence bound index policy. We show $\widetilde{\mathrm{NR}}_T \leq \widetilde{\mathcal{O}}(\sqrt{k\log T/T})$ and, with probability $1-\delta$, $\widehat{\mathrm{NR}}_T \leq \widetilde{\mathcal{O}}(\sqrt{k\log(kT/\delta)/T})$, matching the optimal $\widetilde{\mathcal{O}}(\sqrt{k/T})$ rate despite the stronger metrics. Optimality follows from a lower bound via AM-GM and standard $k$-armed bandit minimax arguments. Simulations validate our theory.

Machine Learning (stat.ML); Machine Learning (cs.LG)

arXiv:2610.07737 [stat.ML]

(or arXiv:2610.07737v1 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2610.07737 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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