Adversarial Network Optimization under Bandit Feedback: Maximizing Utility in Non-Stationary Multi-Hop Networks

Abstract: Stochastic Network Optimization (SNO) concerns scheduling in stochastic queueing systems. It has been widely studied in network theory. Classical SNO algorithms require network conditions to be stationary with time, which fails to capture the non-stationary components in many real-world scenarios. Many existing algorithms also assume knowledge of network conditions before decision, which rules out applications where unpredictability presents. Motivated by these issues, we consider Adversarial Network Optimization (ANO) under bandit feedback. Specifically, we consider the task of i) maximizing some unknown and time-varying utility function associated to scheduler's actions, where ii) the underlying network is a non-stationary multi-hop one whose conditions change arbitrarily with time, and iii) only bandit feedback (effect of actually deployed actions) is revealed after decisions. Our proposed UMO2 algorithm ensures network stability and also matches the utility maximization performance of any "mildly varying" reference policy up to a polynomially decaying gap. To our knowledge, no previous ANO algorithm handled multi-hop networks or achieved utility guarantees under bandit feedback, whereas ours can do both. Technically, our method builds upon a novel integration of online learning into Lyapunov analyses: To handle complex inter-dependencies among queues in multi-hop networks, we propose meticulous techniques to balance online learning and Lyapunov arguments. To tackle the learning obstacles due to potentially unbounded queue sizes, we design a new online linear optimization algorithm that automatically adapts to loss magnitudes. To maximize utility, we propose a bandit convex optimization algorithm with novel queue-dependent learning rate scheduling that suites drastically varying queue lengths. Our new insights in online learning can be of independent interest.