AI & ML
A Jointly Efficient and Near-Optimal Algorithm for Heteroskedastic Generalized Linear Bandits with Adversarial Corruptions
arXiv stat.ML0 views
arXiv:2602.10971v3 Announce Type: replace-cross Abstract: We consider heteroskedastic generalized linear bandits (GLBs) with adversarial corruptions and propose \texttt{HCW-GLB-OMD}, a simple algorithm that combines an online mirror descent (OMD)-based estimator with Hessian-based confidence weights. Although both components are well studied, establishing guarantees for the combined algorithm requires a nontrivial analysis. We establish a corruption-robust confidence sequence using technical tools not required in prior analyses, including a weighted likelihood supermartingale and a self-bounding argument. For the regret analysis, we derive a new Hessian potential lemma to handle the interaction between adversarial corruption and adaptive confidence weighting. For self-concordant GLMs, we prove a high-probability regret bound of $\widetilde{\mathcal{O}}\bigl( d \sqrt{\sum_t g(\tau_t) \dot\mu_{t,\star}} + d^2 g_{\max} \kappa + d(1+\kappa)(C\vee1) \bigr)$, where $\dot\mu_{t,\star}$ is the slope of $\mu$ at the optimal arm at time $t$, $g(\tau_t)$ is the observed dispersion, $g_{\max}=\max_t g(\tau_t)$, $\kappa$ is the worst-case inverse slope of $\mu$, and $C$ is the corruption budget. The algorithm attains this bound with one OMD update per round and $\mathcal{O}(d^2)$ storage. We complement this guarantee with matching lower bounds for the leading $\sqrt{T}$ term and, up to $\kappa$, the $dC$ corruption term.
Source:https://arxiv.org/abs/2602.10971PreviousRobust Residual Correction via Selective Deployment for Time Series ForecastingNextLearning Generative Dynamics with Soft Path-Law Constraints: A McKean-Vlasov FBSDE Approach
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