Title: Small-loss bounds for online learning with partial information,
Abstract: We consider the problem of adversarial (non-stochastic) online learning with
partial information feedback, where at each round, a decision maker selects an
action from a finite set of alternatives. We develop a black-box approach for
such problems where the learner observes as feedback only losses of a subset of
the actions that includes the selected action. When losses of actions are
non-negative, under the graph-based feedback model introduced by Mannor and
Shamir, we offer algorithms that attain the so called "small-loss" $o(\alpha
L^{\star})$ regret bounds with high probability, where $\alpha$ is the
independence number of the graph, and $L^{\star}$ is the loss of the best
action. Prior to our work, there was no data-dependent guarantee for general
feedback graphs even for pseudo-regret (without dependence on the number of
actions, i.e. utilizing the increased information feedback). Taking advantage
of the black-box nature of our technique, we extend our results to many other
applications such as semi-bandits (including routing in networks), contextual
bandits (even with an infinite comparator class), as well as learning with
slowly changing (shifting) comparators.
In the special case of classical bandit and semi-bandit problems, we provide
optimal small-loss, high-probability guarantees of
$\tilde{O}(\sqrt{dL^{\star}})$ for actual regret, where $d$ is the number of
actions, answering open questions of Neu. Previous bounds for bandits and
semi-bandits were known only for pseudo-regret and only in expectation. We also
offer an optimal $\tilde{O}(\sqrt{\kappa L^{\star}})$ regret guarantee for
fixed feedback graphs with clique-partition number at most $\kappa$.