uniINF: Best-of-Both-Worlds Algorithm for Parameter-Free Heavy-Tailed MABs

In this paper, we present a novel algorithm, `uniINF`, for the Heavy-Tailed Multi-Armed Bandits (HTMAB) problem, demonstrating robustness and adaptability in both stochastic and adversarial environments. Unlike the stochastic MAB setting where loss distributions are stationary with time, our study extends to the adversarial setup, where losses are generated from heavy-tailed distributions that depend on both arms and time. Our novel algorithm `uniINF` enjoys the so-called Best-of-Both-Worlds (BoBW) property, performing optimally in both stochastic and adversarial environments *without* knowing the exact environment type. Moreover, our algorithm also possesses a Parameter-Free feature, *i.e.*, it operates *without* the need of knowing the heavy-tail parameters $(\sigma, \alpha)$ a-priori.To be precise, `uniINF` ensures nearly-optimal regret in both stochastic and adversarial environments, matching the corresponding lower bounds when $(\sigma, \alpha)$ is known (up to logarithmic factors). To our knowledge, `uniINF` is the first parameter-free algorithm to achieve the BoBW property for the heavy-tailed MAB problem. Technically, we develop innovative techniques to achieve BoBW guarantees for Parameter-Free HTMABs, including a refined analysis for the dynamics of log-barrier, an auto-balancing learning rate scheduling scheme, an adaptive skipping-clipping loss tuning technique, and a stopping-time analysis for logarithmic regret.