What Doubling Tricks Can and Can't Do for Multi-Armed Bandits

An online reinforcement learning algorithm is anytime if it does not need to know in advance the horizon T of the experiment. A well-known technique to obtain an anytime algorithm from any nonanytime algorithm is the “Doubling Trick”. In the context of adversarial or stochastic multi-armed bandits, the performance of an algorithm is measured by its regret, and we study two families of sequences of growing horizons (geometric and exponential) to generalize previously known results that certain doubling tricks can be used to conserve certain regret bounds. In a broad setting, we prove that a geometric doubling trick can be used to conserve (minimax) bounds in RT = O( √ T ) but cannot conserve (distribution-dependent) bounds in RT = O(log T ). We give insights as to why exponential doubling tricks may be better, as they conserve bounds in RT = O(log T ), and are close to conserving bounds in RT = O( √ T ).