Prior-Free Competitive Ratios for Improving Bandits: Scale, Curvature and Horizon Are Free, but Not Jointly Under Noise

Abstract:In the improving multi-armed bandits problem, each of $k$ arms has an unknown nondecreasing, discretely concave reward curve $f_i$, and pulling arm $i$ for the $t$-th time yields $f_i(t)$. For sufficiently long horizons, Blum and Ravichandran (ALT 2025) proved that randomized algorithms achieve an $O(\sqrt k)$ approximation to the best single arm when the scale $m=f^*(T)$ of the optimal arm is known ($T\ge2k$), and $O(\sqrt k\log k)$ when it is not ($T>4k$), against an $\Omega(\sqrt k)$ lower bound. The logarithmic factor is unnecessary: a one-page \emph{probe-and-commit} algorithm achieves competitive ratio $4\sqrt3\,\sqrt k$ for $T\ge2\lfloor\sqrt k\rfloor$, without any knowledge of the scale, and we determine the optimal ratio for every horizon, $\Theta(\sqrt k+k/T)$, also for unknown horizons. Without noise, \emph{no prior is needed at all}: a random-marginal probing algorithm reading neither the scale $m$, nor the concavity-envelope exponent $\beta$ of Blum, Garicano, Ravichandran and Sharma (UAI 2026), nor the horizon $T$, achieves the optimal $\Theta(k^{\beta/(1+\beta)}+k/T)$ simultaneously for every $\beta$ and every horizon. Under the multiplicative noise model of Blum and Ravichandran, probe-and-commit keeps the same all-horizon order $\Theta(\sqrt k+k/T)$ without knowing the noise level (and $\Theta(\sqrt k)$ on the same range), but the price of priors jumps: for any fixed noise level $\varepsilon\in(0,1/2]$, the uniform price of adaptation $\phi_\varepsilon(k)$ --- the worst case over horizons $T\ge16k$ of the loss relative to $k^{\beta/(1+\beta)}$ for algorithms knowing neither $m$ nor $\beta$ --- is $\Theta_\varepsilon(\sqrt{\log k/\log\log k})$, the lower bound asymptotic in $k$ at fixed positive $\varepsilon$ and matched by a nested random-permutation probing algorithm, whereas knowing either $m$ or $\beta$ alone restores a constant price.

Machine Learning (cs.LG)

arXiv:2609.17595 [cs.LG]

(or arXiv:2609.17595v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2609.17595 Focus to learn more arXiv-issued DOI via DataCite

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