A Second-Order Method for Stochastic Bandit Convex Optimisation

Tor Lattimore, András György
2/10/2023
cs.LGmath.OCstat.ML

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Abstract

We introduce a simple and efficient algorithm for unconstrained zeroth-order stochastic convex bandits and prove its regret is at most $(1 + r/d)[d^{1.5} \sqrt{n} + d^3] polylog(n, d, r)$ where $n$ is the horizon, $d$ the dimension and $r$ is the radius of a known ball containing the minimiser of the loss.

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Cite this paper

@article{lattimore2023secondorder,
  title  = {A Second-Order Method for Stochastic Bandit Convex Optimisation},
  author = {Tor Lattimore and András György},
  year   = {2023},
  eprint = {2302.05371},
  archivePrefix = {arXiv},
  url    = {http://arxiv.org/abs/2302.05371v1}
}

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