We consider stochastic multi-armed bandit problems where the expected reward is a Lipschitz function of the arm, and where the set of arms is either discrete or continuous. For discrete Lipschitz bandits, we derive asymptotic problem specific lower bounds for the regret satisfied by any algorithm, and propose OSLB and CKL-UCB, two algorithms that efficiently exploit the Lipschitz structure of the problem. In fact, we prove that OSLB is asymptotically optimal, as its asymptotic regret matches the lower bound. The regret analysis of our algorithms relies on a new concentration inequality for weighted sums of KL divergences between the empirical distributions of rewards and their true distributions. For continuous Lipschitz bandits, we propose to first discretize the action space, and then apply OSLB or CKL-UCB, algorithms that provably exploit the structure efficiently. This approach is shown, through numerical experiments, to significantly outperform existing algorithms that directly deal with the continuous set of arms. Finally the results and algorithms are extended to contextual bandits with similarities.

研究了随机多臂赌博问题中期望奖励是武器的Lipschitz函数的情况，提出了两种算法OSLB和CKL-UCB，并衍生出上限，针对连续武器集合的情况建议首先离散化行动空间再应用算法，同时也考虑到了具有类似性质的背景下文本字形赌博。

Lipschitz Bandits: 遗憾下限和最优算法