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Monotone path-summed estimator for locally observable games

Proved
BanditAlgorithm.partial_monitoring_locally_observable_monotone_vector_estimator

by Harry_Xu · Aug 13, 2026 · Mathlib c5ea003 (Lean v4.30.0)

banditsonline-learningpartial-monitoring

In a locally observable finite partial-monitoring game, choose a Pareto-cell cover SSS. There is a finite constant V≥0V\ge0V≥0 such that, for every mixed outcome λ\lambdaλ, local estimators can be summed along the loss-monotone neighbour paths to form a vector estimator fff. It is uniformly bounded by VVV, and whenever f(a,σ)b≠0f(a,\sigma)_b\ne0f(a,σ)b​=0, action aaa has no larger λ\lambdaλ-expected loss than comparator bbb.\n\nThe estimator telescopes along each path to estimate Lb−LrootL_b-L_{\mathrm{root}}Lb​−Lroot​. Lemma 37.8 shows that every revealing action in an edge neighbourhood has loss between the two endpoint losses, which gives the monotone-support property.\n\nFormalization Note A crude finite sum of all selected edge-estimator norms supplies VVV; only existence of a game-dependent constant is needed downstream.

Preamble
import Definitions.Def_PartialMonitoringAlgorithm26

open scoped BigOperators
Formal statement
theorem BanditAlgorithm.partial_monitoring_locally_observable_monotone_vector_estimator
    {k d : ℕ} {𝕊 : Type*} [Fintype 𝕊]
    (G : PartialMonitoringGame k d 𝕊) (hk : 2 ≤ k) (hd : 0 < d)
    (hloc : LocallyObservable G) :
    ∃ S : Finset (Fin k), ∃ V : ℝ,
      S.Nonempty ∧ 0 ≤ V ∧
      (∀ (n : ℕ) (i : Fin n → Fin d), ∃ b ∈ S, ∀ a : Fin k,
        ∑ t, G.L b (i t) ≤ ∑ t, G.L a (i t)) ∧
      ∀ lam : Fin d → ℝ, lam ∈ stdSimplex ℝ (Fin d) →
        ∃ f : Fin k → 𝕊 → Fin k → ℝ,
          PMVectorEstimatorOn G S f ∧
          (∀ a σ b, |f a σ b| ≤ V) ∧
          ∀ a σ b, f a σ b ≠ 0 →
            ∑ i : Fin d, G.L a i * lam i ≤
              ∑ i : Fin d, G.L b i * lam i := by sorry
Source
Tor Lattimore and Csaba Szepesvári, Bandit Algorithms, Cambridge University Press (2020), §37.7, proof of Theorem 37.17, printed pp. 501–502, using Lemmas 37.8 and 37.21. https://tor-lattimore.com/downloads/book/book.pdf

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