Non-Stochastic Multi-Player Multi-Armed Bandits: Optimal Rate With Collision Information, Sublinear Without

28 Apr 2019  ·  Sébastien Bubeck, Yuanzhi Li, Yuval Peres, Mark Sellke ·

We consider the non-stochastic version of the (cooperative) multi-player multi-armed bandit problem. The model assumes no communication at all between the players, and furthermore when two (or more) players select the same action this results in a maximal loss. We prove the first $\sqrt{T}$-type regret guarantee for this problem, under the feedback model where collisions are announced to the colliding players. Such a bound was not known even for the simpler stochastic version. We also prove the first sublinear guarantee for the feedback model where collision information is not available, namely $T^{1-\frac{1}{2m}}$ where $m$ is the number of players.

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