LeanMachineLearning

Bandits.UCB.regret_le๐Ÿ”—

Theorem

Regret bound for the UCB algorithm.

๐Ÿ”—theorem
Bandits.UCB.regret_le.{u_1} {K : โ„•} {hK : 0 < K} {c : โ„} {ฮฝ : ProbabilityTheory.Kernel (Fin K) โ„} [ProbabilityTheory.IsMarkovKernel ฮฝ] {ฮฉ : Type u_1} {mฮฉ : MeasurableSpace ฮฉ} {P : MeasureTheory.Measure ฮฉ} [MeasureTheory.IsProbabilityMeasure P] {A : โ„• โ†’ ฮฉ โ†’ Fin K} {R : โ„• โ†’ ฮฉ โ†’ โ„} {ฯƒ2 : NNReal} (h : Learning.IsAlgEnvSeq A R (ucbAlgorithm hK (c * โ†‘ฯƒ2)) (Learning.stationaryEnv ฮฝ) P) (hฮฝ : โˆ€ (a : Fin K), ProbabilityTheory.HasSubgaussianMGF (fun x => x - โˆซ (x : โ„), id x โˆ‚ฮฝ a) ฯƒ2 (ฮฝ a)) (hฯƒ2 : ฯƒ2 โ‰  0) (hc : 0 < c) (n : โ„•) : โˆซ (x : ฮฉ), regret ฮฝ A n x โˆ‚P โ‰ค โˆ‘ a, (8 * c * โ†‘ฯƒ2 * Real.log (โ†‘n + 1) / gap ฮฝ a + gap ฮฝ a * (2 + 2 * ENNReal.toReal (constSum c n)))
Bandits.UCB.regret_le.{u_1} {K : โ„•} {hK : 0 < K} {c : โ„} {ฮฝ : ProbabilityTheory.Kernel (Fin K) โ„} [ProbabilityTheory.IsMarkovKernel ฮฝ] {ฮฉ : Type u_1} {mฮฉ : MeasurableSpace ฮฉ} {P : MeasureTheory.Measure ฮฉ} [MeasureTheory.IsProbabilityMeasure P] {A : โ„• โ†’ ฮฉ โ†’ Fin K} {R : โ„• โ†’ ฮฉ โ†’ โ„} {ฯƒ2 : NNReal} (h : Learning.IsAlgEnvSeq A R (ucbAlgorithm hK (c * โ†‘ฯƒ2)) (Learning.stationaryEnv ฮฝ) P) (hฮฝ : โˆ€ (a : Fin K), ProbabilityTheory.HasSubgaussianMGF (fun x => x - โˆซ (x : โ„), id x โˆ‚ฮฝ a) ฯƒ2 (ฮฝ a)) (hฯƒ2 : ฯƒ2 โ‰  0) (hc : 0 < c) (n : โ„•) : โˆซ (x : ฮฉ), regret ฮฝ A n x โˆ‚P โ‰ค โˆ‘ a, (8 * c * โ†‘ฯƒ2 * Real.log (โ†‘n + 1) / gap ฮฝ a + gap ฮฝ a * (2 + 2 * ENNReal.toReal (constSum c n)))

Code

theorem regret_le (h : IsAlgEnvSeq A R (ucbAlgorithm hK (c * ฯƒ2)) (stationaryEnv ฮฝ) P)
    (hฮฝ : โˆ€ a, HasSubgaussianMGF (fun x โ†ฆ x - (ฮฝ a)[id]) ฯƒ2 (ฮฝ a))
    (hฯƒ2 : ฯƒ2 โ‰  0) (hc : 0 < c) (n : โ„•) :
    P[regret ฮฝ A n] โ‰ค
      โˆ‘ a, (8 * c * ฯƒ2 * log (n + 1) / gap ฮฝ a + gap ฮฝ a * (2 + 2 * (constSum c n).toReal))
Proof
by
  refine (integral_regret_le_of_forall_integral_pullCount_le h
    (fun a h_gap โ†ฆ expectation_pullCount_le h hฮฝ hฯƒ2 hc a
      (lt_of_le_of_ne' gap_nonneg h_gap) n)).trans_eq ?_
  congr with a
  by_cases h_gap : gap ฮฝ a = 0
  ยท simp [h_gap]
  ยท field

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Meaning last changed in v4.34.0-rc2-14-gf86702d (2026-08-25), the 5th recorded change.

Self-contained, with its dependencies inlined and proofs replaced by sorry: download the raw file ยท open it in the Lean web editor.

Dependency graph

Audit surface: 20 project declarations, 144 external constants

โœ“ Proved: no sorry anywhere in its closure

This is the tool's own reading of one build's recorded axioms, and it is not robust against an author who wants it to pass. Checking meant to be relied on should go through Comparator, which replays the proof through the kernel from an export against an explicit list of permitted axioms.