Risk level dependent Minimax Quantile lower bounds for Interactive Statistical Decision Making

Raghav Bongole; Amirreza Zamani; Tobias J. Oechtering; Mikael Skoglund

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arXiv · 2510.05808

Risk level dependent Minimax Quantile lower bounds for Interactive Statistical Decision Making

Raghav Bongole·Amirreza Zamani·Tobias J. Oechtering·Mikael Skoglund

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Abstract

Minimax risk and regret focus on expectation, missing rare failures critical in safety-critical bandits and reinforcement learning. Minimax quantiles capture these tails. Three strands of prior work motivate this study: minimax-quantile bounds restricted to non-interactive estimation; unified interactive analyses that focus on expected risk rather than risk level specific quantile bounds; and high-probability bandit bounds that still lack a quantile-specific toolkit for general interactive protocols. To close this gap, within the interactive statistical decision making framework, we develop high-probability Fano and Le Cam tools and derive risk level explicit minimax-quantile bounds, including a quantile-to-expectation conversion and a tight link between strict and lower minimax quantiles. Instantiating these results for the two-armed Gaussian bandit immediately recovers optimal-rate bounds.

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Raghav Bongole, Amirreza Zamani, Tobias J. Oechtering, Mikael Skoglund. 2025-10-07. Risk level dependent Minimax Quantile lower bounds for Interactive Statistical Decision Making. https://arxiv.org/abs/2510.05808

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