Minimax Policy for Heavy-tailed Bandits

Abstract: We study the stochastic Multi-Armed Bandit (MAB) problem under worst-case regret and heavy-tailed reward distribution. We modify the minimax policy MOSS for the sub-Gaussian reward distribution by using saturated empirical mean to design a new algorithm called Robust MOSS. We show that if the moment of order $1+\epsilon$ for the reward distribution exists, then the refined strategy has a worst-case regret matching the lower bound while maintaining a distribution-dependent logarithm regret.