This paper considers the multi-armed bandit (MAB) problem and provides a new best-of-both-worlds (BOBW) algorithm that works nearly optimally in both stochastic and adversarial settings. In stochastic settings, some existing BOBW algorithms achieve tight gap-dependent regret bounds of $O(\sum_{i: \Delta_i>0} \frac{\log T}{\Delta_i})$ for suboptimality gap $\Delta_i$ of arm $i$ and time horizon $T$. As Audibert et al. [2007] have shown, however, that the performance can be improved in stochastic environments with low-variance arms. In fact, they have provided a stochastic MAB algorithm with gap-variance-dependent regret bounds of $O(\sum_{i: \Delta_i>0} (\frac{\sigma_i^2}{\Delta_i} + 1) \log T )$ for loss variance $\sigma_i^2$ of arm $i$. In this paper, we propose the first BOBW algorithm with gap-variance-dependent bounds, showing that the variance information can be used even in the possibly adversarial environment. Further, the leading constant factor in our gap-variance dependent bound is only (almost) twice the value for the lower bound. Additionally, the proposed algorithm enjoys multiple data-dependent regret bounds in adversarial settings and works well in stochastic settings with adversarial corruptions. The proposed algorithm is based on the follow-the-regularized-leader method and employs adaptive learning rates that depend on the empirical prediction error of the loss, which leads to gap-variance-dependent regret bounds reflecting the variance of the arms.

翻译：本文审视了多臂土匪(MAB)问题, 并提供了一个新的双向双向最佳算法( BOBW), 它在随机和对立的设置中几乎都能发挥最佳效果。 但是, 在随机环境中, 一些现有的 BOBW 算法的性能可以改善以差为基础的严格悔分界限 $O (\\\ sum ⁇ i:\ Delta_ i}\ frac=log TunDelta_ i} 用于亚最佳差距 $\ Delta_ i$, 美元 美元, 美元 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 。 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 。 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 美元, 。