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Abstract
Lipschitz bandit is a variant of stochastic bandits that deals with a
continuous arm set defined on a metric space, where the reward function is
subject to a Lipschitz constraint. In this paper, we introduce a new problem of
Lipschitz bandits in the presence of adversarial corruptions where an adaptive
adversary corrupts the stochastic rewards up to a total budget $C$. The budget
is measured by the sum of corruption levels across the time horizon $T$. We
consider both weak and strong adversaries, where the weak adversary is unaware
of the current action before the attack, while the strong one can observe it.
Our work presents the first line of robust Lipschitz bandit algorithms that can
achieve sub-linear regret under both types of adversary, even when the total
budget of corruption $C$ is unrevealed to the agent. We provide a lower bound
under each type of adversary, and show that our algorithm is optimal under the
strong case. Finally, we conduct experiments to illustrate the effectiveness of
our algorithms against two classic kinds of attacks.