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Stochastic convex optimization with bandit feedback
Alekh Agarwal · Dean P Foster · Daniel Hsu · Sham M Kakade · Sasha Rakhlin

Wed Dec 14 08:45 AM -- 02:59 PM (PST) @
This paper addresses the problem of minimizing a convex, Lipschitz function $f$ over a convex, compact set $X$ under a stochastic bandit feedback model. In this model, the algorithm is allowed to observe noisy realizations of the function value $f(x)$ at any query point $x \in X$. We demonstrate a generalization of the ellipsoid algorithm that incurs $O(\poly(d)\sqrt{T})$ regret. Since any algorithm has regret at least $\Omega(\sqrt{T})$ on this problem, our algorithm is optimal in terms of the scaling with $T$.

Author Information

Alekh Agarwal (Google Research)
Dean P Foster (University of Pennsylvania)
Daniel Hsu (Columbia University)

See <https://www.cs.columbia.edu/~djhsu/>

Sham M Kakade (Harvard University &amp; Amazon)
Sasha Rakhlin (University of Pennsylvania)

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