Near-Optimal Regret for Semi-Bandit Learning of Monotone Stochastic Problems

arXiv:2610.24446v1 Announce Type: new Abstract: We consider the task of learning an (approximately) optimal policy for stochastic optimization problems where the true distributions are unknown. In each period, the algorithm plays a policy for the stochastic problem and observes semi-bandit feedback, i.e., it only receives new samples from the random variables that were selected by the policy. We obtain an algorithm that works for a large class of ``monotone'' stochastic problems, including prophet inequality, Pandora's box, series testing, stochastic knapsack and stochastic matching. We obtain $\tilde{O}(\sqrt{nkT})$ regret for ``weakly'' monotone problems and $\tilde{O}(\sqrt{nT})$ regret for ``strongly'' monotone problems, where $T$ is the number of periods, $n$ is the problem dimension (number of random variables) and $k$ is the maximum support size of any random variable. This improves over previous regret bounds by a $\sqrt{n}$ factor. In fact, our dependence on $n$ and $T$ is the best-possible due the $\Omega(\sqrt{nT})$ lower bound for multi-armed-bandits. Our main technique is the use of Hellinger distance in bounding the ``error'' between the true and learned distributions, and the use of a constant-factor chain rule for the Hellinger distance of dependent random variables.