Tight Bounds for Bandit Combinatorial Optimization

We revisit the study of optimal regret rates in bandit combinatorial optimization---a fundamental framework for sequential decision making under uncertainty that abstracts numerous combinatorial prediction problems. We prove that the attainable regret in this setting grows as $\widetildeΘ(k^{3/2}\sqrt{dT})$ where $d$ is the dimension of the problem and $k$ is a bound over the maximal instantaneous loss, disproving a conjecture of Audibert, Bubeck, and Lugosi (2013) who argued that the optimal rate should be of the form $\widetildeΘ(k\sqrt{dT})$. Our bounds apply to several important instances of the framework, and in particular, imply a tight bound for the well-studied bandit shortest path problem. By that, we also resolve an open problem posed by Cesa-Bianchi and Lugosi (2012).