Combinatorial Semi-Bandit in the Non-Stationary Environment
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In this paper, we investigate the non-stationary combinatorial semi-bandit problem, both in the switching case and in the dynamic case. In the general case where (a) the reward function is non-linear, (b) arms may be probabilistically triggered, and (c) only approximate offline oracle exists <cit.>, our algorithm achieves Õ(√(S T)) distribution-dependent regret in the switching case, and Õ(V^1/3T^2/3) in the dynamic case, where S is the number of switchings and V is the sum of the total “distribution changes”. The regret bounds in both scenarios are nearly optimal, but our algorithm needs to know the parameter S or V in advance. We further show that by employing another technique, our algorithm no longer needs to know the parameters S or V but the regret bounds could become suboptimal. In a special case where the reward function is linear and we have an exact oracle, we design a parameter-free algorithm that achieves nearly optimal regret both in the switching case and in the dynamic case without knowing the parameters in advance.
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