Appears in collection : 11e Journée Statistique et Informatique pour la Science des Données à Paris-Saclay

We consider linear stochastic bandits where the set of actions is an ellipsoid. We provide the first known minimax optimal algorithm for this problem. We first derive a novel information-theoretic lower bound on the regret of any algorithm, which must be at least $\Omega(\min(d \sigma \sqrt{T} + d |\theta|_{A}, |\theta|_{A} T))$ where $d$ is the dimension, $T$ the time horizon, $\sigma^2$ the noise variance, $A$ a matrix defining the set of actions, and $\theta$ the vector of unknown parameters. We then provide an algorithm whose regret matches this bound to a multiplicative universal constant. The algorithm is non-classical in the sense that it is not optimistic, and it is not a sampling algorithm. The main idea is to combine a novel sequential procedure to estimate $|\theta|$, followed by an explore-and-commit strategy informed by this estimate. The algorithm is highly computationally efficient, and a run requires only time $\mathcal{O}(dT + d^2 \log(T/d) + d^3)$ and memory $\mathcal{O}(d^2)$, in contrast with known optimistic algorithms, which are not implementable in polynomial time. We go beyond minimax optimality and show that our algorithm is locally asymptotically minimax optimal, a much stronger notion of optimality. We further provide numerical experiments to illustrate our theoretical findings.