Robust sequential design for piecewise-stationary multi-armed bandit problem in the presence of outliers

The multi-armed bandit (MAB) problem studies the sequential decision making in the presence of uncertainty and partial feedback on rewards. Its name comes from imagining a gambler at a row of slot machines who needs to decide the best strategy on the number of times as well as the orders to play each machine. It is a classic reinforcement learning problem which is fundamental to many online learning problems. In many practical applications of the MAB, the reward distributions may change at unknown time steps and the outliers (extreme rewards) often exist. Current sequential design strategies may struggle in such cases, as they tend to infer additional change points to fit the outliers. In this paper, we propose a robust change-detection upper confidence bound (RCD-UCB) algorithm which can distinguish the real change points from the outliers in piecewise-stationary MAB settings. We show that the proposed RCD-UCB algorithm can achieve a nearly optimal regret bound on the order of (Formula presented.), where T is the number of time steps, K is the number of arms and S is the number of stationary segments. We demonstrate its superior performance compared to some state-of-the-art algorithms in both simulation experiments and real data analysis. (See https://github.com/woaishufenke/MAB_STRF.git for the codes used in this paper.).