Detection Augmented Learning In Non-Stationary Bandit Environments

We study the problem of non-stationary bandits without knowledge of the environmental changes. We propose Detection Augmented Learning (DAL) a black-box paradigm that comprises three modular components: a bandit algorithm, a change detector, and a forced exploration schedule. This modular design enables its applicability across a broad spectrum of bandit problems, from classical to highly structured settings. First, we provide theoretical insights into DAL's strong empirical performance: a single regret bound shows that DAL transfers the regret of its stationary input to the piecewise stationary setting, attaining or improving the best known bounds in every setting considered. We further identify conditions under which DAL performs well in drifting environments. Then, we showcase DAL's practical performance and versatility through extensive experimentation in which DAL consistently surpasses all state-of-the-art methods, both prior-free and prior-based, across diverse non-stationary scenarios in nine bandit settings. Finally, we investigate the effectiveness of the forced exploration and show that a bandit-driven strategy improves performance and shortens detection delay.