Breaking the Moments Condition Barrier: No-Regret Algorithm for Bandits with Super Heavy-Tailed Payoffs

Despite a large amount of effort in dealing with heavy-tailed error in machine learning, little is known when moments of the error can become non-existential: the random noise η satisfies Prleft[|η| > |y|right] ≤ 1/|y|α for some α > 0. We make the first attempt to actively handle such super heavy-tailed noise in bandit learning problems: We propose a novel robust statistical estimator, mean of medians, which estimates a random variable by computing the empirical mean of a sequence of empirical medians. We then present a generic reductionist algorithmic framework for solving bandit learning problems (including multi-armed and linear bandit problem): the mean of medians estimator can be applied to nearly any bandit learning algorithm as a black-box filtering for its reward signals and obtain similar regret bound as if the reward is sub-Gaussian. We show that the regret bound is near-optimal even with very heavy-tailed noise. We also empirically demonstrate the effectiveness of the proposed algorithm, which further corroborates our theoretical results.