Bandit Convex Optimisation Revisited: FTRL Achieves Õ(t^1/2) Regret

02/01/2023

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by   David Young, et al.

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We show that a kernel estimator using multiple function evaluations can be easily converted into a sampling-based bandit estimator with expectation equal to the original kernel estimate. Plugging such a bandit estimator into the standard FTRL algorithm yields a bandit convex optimisation algorithm that achieves Õ(t^1/2) regret against adversarial time-varying convex loss functions.