Corralling a Larger Band of Bandits: A Case Study on Switching Regret for Linear Bandits

We consider the problem of combining and learning over a set of adversarial bandit algorithms with the goal of adaptively tracking the best one on the fly. The CORRAL algorithm of Agarwal et al. (2017) and its variants (Foster et al., 2020a) achieve this goal with a regret overhead of order widetildeO(√MT) where M is the number of base algorithms and T is the time horizon. The polynomial dependence on M, however, prevents one from applying these algorithms to many applications where M is poly(T) or even larger. Motivated by this issue, we propose a new recipe to corral a larger band of bandit algorithms whose regret overhead has only logarithmic dependence on M as long as some conditions are satisfied. As the main example, we apply our recipe to the problem of adversarial linear bandits over a d-dimensional ℓp unit-ball for p ∈ (1,2]. By corralling a large set of T base algorithms, each starting at a different time step, our final algorithm achieves the first optimal switching regret widetildeO(√d S T) when competing against a sequence of comparators with S switches (for some known S). We further extend our results to linear bandits over a smooth and strongly convex domain as well as unconstrained linear bandits.