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Eventually LIL Regret: Almost Sure $\ln\ln T$ Regret for a sub-Gaussian Mixture on Unbounded Data
arXiv:2512.12325v1 Announce Type: new
Abstract: We prove that a classic sub-Gaussian mixture proposed by Robbins in a stochastic setting actually satisfies a path-wise (deterministic) regret bound. For every path in a natural ``Ville event'' $E_\alpha$, this regret till time $T$ is bounded by $\ln^2(1/\alpha)/V_T + \ln (1/\alpha) + \ln \ln V_T$ up to universal constants, where $V_T$ is a nonnegative, nondecreasing, cumulative variance process. (The bound reduces to $\ln(1/\alpha) + \ln \ln V_T$ if $V_T \geq \ln(1/\alpha)$.) If the data were stochastic, then one can show that $E_\alpha$ has probability at least $1-\alpha$ under a wide class of distributions (eg: sub-Gaussian, symmetric, variance-bounded, etc.). In fact, we show that on the Ville event $E_0$ of probability one, the regret on every path in $E_0$ is eventually bounded by $\ln \ln V_T$ (up to constants). We explain how this work helps bridge the world of adversarial online learning (which usually deals with regret bounds for bounded data), with game-theoretic statistics (which can handle unbounded data, albeit using stochastic assumptions). In short, conditional regret bounds serve as a bridge between stochastic and adversarial betting.
Abstract: We prove that a classic sub-Gaussian mixture proposed by Robbins in a stochastic setting actually satisfies a path-wise (deterministic) regret bound. For every path in a natural ``Ville event'' $E_\alpha$, this regret till time $T$ is bounded by $\ln^2(1/\alpha)/V_T + \ln (1/\alpha) + \ln \ln V_T$ up to universal constants, where $V_T$ is a nonnegative, nondecreasing, cumulative variance process. (The bound reduces to $\ln(1/\alpha) + \ln \ln V_T$ if $V_T \geq \ln(1/\alpha)$.) If the data were stochastic, then one can show that $E_\alpha$ has probability at least $1-\alpha$ under a wide class of distributions (eg: sub-Gaussian, symmetric, variance-bounded, etc.). In fact, we show that on the Ville event $E_0$ of probability one, the regret on every path in $E_0$ is eventually bounded by $\ln \ln V_T$ (up to constants). We explain how this work helps bridge the world of adversarial online learning (which usually deals with regret bounds for bounded data), with game-theoretic statistics (which can handle unbounded data, albeit using stochastic assumptions). In short, conditional regret bounds serve as a bridge between stochastic and adversarial betting.
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