Geometric Resampling in Nearly Linear Time for Follow-the-Perturbed-Leader with Best-of-Both-Worlds Guarantee in Bandit Problems

摘要

This paper studies the complexity and optimality of Follow-the-Perturbed-Leader (FTPL) policy in the $K$-armed bandit problems. FTPL is a promising policy that achieves the Best-of-Both-Worlds (BOBW) guarantee without solving an optimization problem unlike Follow-the-Regularized-Leader (FTRL). However, FTPL needs a procedure called geometric resampling to estimate the loss, which needs $O(K^2)$ per-round average complexity, usually worse than that of FTRL. To address this issue, we propose a novel technique, which we call Conditional Geometric Resampling (CGR), for unbiased loss estimation applicable to general perturbation distributions. CGR reduces the average complexity to $O(K\log K)$ without sacrificing the regret bounds. We also propose a biased version of CGR that can control the worst-case complexity while keeping the BOBW guarantee for a certain perturbation distribution. We confirm through experiments that CGR does not only significantly improve the average and worst-case runtime but also achieve better regret thanks to the stable loss estimation.