We consider an adversarial variant of the classic $K$-armed linear contextual bandit problem where the sequence of loss functions associated with each arm are allowed to change without restriction over time. Under the assumption that the $d$-dimensional contexts are generated i.i.d.~at random from a known distributions, we develop computationally efficient algorithms based on the classic Exp3 algorithm. Our first algorithm, RealLinExp3, is shown to achieve a regret guarantee of $\widetilde{O}(\sqrt{KdT})$ over $T$ rounds, which matches the best available bound for this problem. Our second algorithm, RobustLinExp3, is shown to be robust to misspecification, in that it achieves a regret bound of $\widetilde{O}((Kd)^{1/3}T^{2/3}) + \varepsilon \sqrt{d} T$ if the true reward function is linear up to an additive nonlinear error uniformly bounded in absolute value by $\varepsilon$. To our knowledge, our performance guarantees constitute the very first results on this problem setting.
University of California, Davis（加州大学戴维斯分校）；University of California, Los Angeles（加州大学洛杉矶分校）
The stochastic contextual bandit problem, which models the trade-off between exploration and exploitation, has many real applications, including recommender systems, online advertising and clinical trials. As many other machine learning algorithms, contextual bandit algorithms often have one or more hyper-parameters. As an example, in most optimal stochastic contextual bandit algorithms, there is an unknown exploration parameter which controls the trade-off between exploration and exploitation. A proper choice of the hyper-parameters is essential for contextual bandit algorithms to perform wel…
We consider the stochastic linear (multi-armed) contextual bandit problem with the possibility of hidden simple multi-armed bandit structure in which the rewards are independent of the contextual information. Algorithms that are designed solely for one of the regimes are known to be sub-optimal for the alternate regime. We design a single computationally efficient algorithm that simultaneously obtains problem-dependent optimal regret rates in the simple multi-armed bandit regime and minimax optimal regret rates in the linear contextual bandit regime, without knowing a priori which of the two m…
We consider a novel variant of the contextual bandit problem (i.e., the multi-armed bandit with side-information, or context, available to a decision-maker) where the context used at each decision may be corrupted ("useless context"). This new problem is motivated by certain on-line settings including clinical trial and ad recommendation applications. In order to address the corrupted-context setting,we propose to combine the standard contextual bandit approach with a classical multi-armed bandit mechanism. Unlike standard contextual bandit methods, we are able to learn from all iteration, eve…
This work explores adaptations of successful multi-armed bandits policies to the online contextual bandits scenario with binary rewards using binary classification algorithms such as logistic regression as black-box oracles. Some of these adaptations are achieved through bootstrapping or approximate bootstrapping, while others rely on other forms of randomness, resulting in more scalable approaches than previous works, and the ability to work with any type of classification algorithm. In particular, the Adaptive-Greedy algorithm shows a lot of promise, in many cases achieving better performanc…
IBM Thomas J. Watson Research Center（IBM托马斯·J·沃森研究中心）；Strasbourg University（斯特拉斯堡大学）；CNRS（法国国家科学研究中心）
We study here the problem of learning the exploration exploitation trade-off in the contextual bandit problem with linear reward function setting. In the traditional algorithms that solve the contextual bandit problem, the exploration is a parameter that is tuned by the user. However, our proposed algorithm learn to choose the right exploration parameters in an online manner based on the observed context, and the immediate reward received for the chosen action. We have presented here two algorithms that uses a bandit to find the optimal exploration of the contextual bandit algorithm, which we …
Massachusetts Institute of Technology（麻省理工学院）；Microsoft Research（微软研究院）；University of Southern California（南加州大学）
In statistical learning, algorithms for model selection allow the learner to adapt to the complexity of the best hypothesis class in a sequence. We ask whether similar guarantees are possible for contextual bandit learning.
Microsoft Research（微软研究院）；University of Maryland（马里兰大学）；Yale University（耶鲁大学）
We investigate the feasibility of learning from a mix of both fully-labeled supervised data and contextual bandit data. We specifically consider settings in which the underlying learning signal may be different between these two data sources. Theoretically, we state and prove no-regret algorithms for learning that is robust to misaligned cost distributions between the two sources. Empirically, we evaluate some of these algorithms on a large selection of datasets, showing that our approach is both feasible and helpful in practice.
Contextual multi-armed bandit problems arise frequently in important industrial applications. Existing solutions model the context either linearly, which enables uncertainty driven (principled) exploration, or non-linearly, by using epsilon-greedy exploration policies. Here we present a deep learning framework for contextual multi-armed bandits that is both non-linear and enables principled exploration at the same time. We tackle the exploration vs. exploitation trade-off through Thompson sampling by exploiting the connection between inference time dropout and sampling from the posterior over …
Contextual bandit algorithms are sensitive to the estimation method of the outcome model as well as the exploration method used, particularly in the presence of rich heterogeneity or complex outcome models, which can lead to difficult estimation problems along the path of learning. We develop algorithms for contextual bandits with linear payoffs that integrate balancing methods from the causal inference literature in their estimation to make it less prone to problems of estimation bias. We provide the first regret bound analyses for linear contextual bandits with balancing and show that our al…
New York University（纽约大学）；University of Arizona（亚利桑那大学）；Microsoft Research（微软研究院）
We create a computationally tractable algorithm for contextual bandits with continuous actions having unknown structure. Our reduction-style algorithm composes with most supervised learning representations. We prove that it works in a general sense and verify the new functionality with large-scale experiments.
University of California, Davis（加州大学戴维斯分校）；University of California, Los Angeles（加州大学洛杉矶分校）；Amazon（亚马逊）
Stochastic linear contextual bandit algorithms have substantial applications in practice, such as recommender systems, online advertising, clinical trials, etc. Recent works show that optimal bandit algorithms are vulnerable to adversarial attacks and can fail completely in the presence of attacks. Existing robust bandit algorithms only work for the non-contextual setting under the attack of rewards and cannot improve the robustness in the general and popular contextual bandit environment. In addition, none of the existing methods can defend against attacked context. In this work, we provide t…
Contextual bandits have the same exploration-exploitation trade-off as standard multi-armed bandits. On adding positive externalities that decay with time, this problem becomes much more difficult as wrong decisions at the start are hard to recover from. We explore existing policies in this setting and highlight their biases towards the inherent reward matrix. We propose a rejection based policy that achieves a low regret irrespective of the structure of the reward probability matrix.
University of Maryland（马里兰大学）；Microsoft Research（微软研究院）
We describe MELEE, a meta-learning algorithm for learning a good exploration policy in the interactive contextual bandit setting. Here, an algorithm must take actions based on contexts, and learn based only on a reward signal from the action taken, thereby generating an exploration/exploitation trade-off. MELEE addresses this trade-off by learning a good exploration strategy for offline tasks based on synthetic data, on which it can simulate the contextual bandit setting. Based on these simulations, MELEE uses an imitation learning strategy to learn a good exploration policy that can then be a…
Contextual bandits with linear payoffs, which are also known as linear bandits, provide a powerful alternative for solving practical problems of sequential decisions, e.g., online advertisements. In the era of big data, contextual data usually tend to be high-dimensional, which leads to new challenges for traditional linear bandits mostly designed for the setting of low-dimensional contextual data. Due to the curse of dimensionality, there are two challenges in most of the current bandit algorithms: the first is high time-complexity; and the second is extreme large upper regret bounds with hig…
New York University（纽约大学）；Microsoft Research（微软研究院）；Inria（法国国家信息与自动化研究所）
Contextual bandit algorithms are essential for solving many real-world interactive machine learning problems. Despite multiple recent successes on statistically and computationally efficient methods, the practical behavior of these algorithms is still poorly understood. We leverage the availability of large numbers of supervised learning datasets to empirically evaluate contextual bandit algorithms, focusing on practical methods that learn by relying on optimization oracles from supervised learning. We find that a recent method (Foster et al., 2018) using optimism under uncertainty works the b…
Peking University（北京大学）；Haihua Institute for Frontier Information Technology（海华前沿信息技术研究院）；Huawei Noah’s Ark Lab（华为诺亚方舟实验室）
We study locally differentially private (LDP) bandits learning in this paper. First, we propose simple black-box reduction frameworks that can solve a large family of context-free bandits learning problems with LDP guarantee. Based on our frameworks, we can improve previous best results for private bandits learning with one-point feedback, such as private Bandits Convex Optimization, and obtain the first result for Bandits Convex Optimization (BCO) with multi-point feedback under LDP. LDP guarantee and black-box nature make our frameworks more attractive in real applications compared with prev…
We revisit the proof by Qin et al. (2014) of bounded regret of the C$^2$UCB contextual combinatorial bandit. We demonstrate an error in the proof of volumetric expansion of the moment matrix, used in upper bounding a function of context vector norms. We prove a relaxed inequality that yields the originally-stated regret bound.
We consider the neural contextual bandit problem. In contrast to the existing work which primarily focuses on ReLU neural nets, we consider a general set of smooth activation functions. Under this more general setting, (i) we derive non-asymptotic error bounds on the difference between an overparameterized neural net and its corresponding neural tangent kernel, (ii) we propose an algorithm with a provably sublinear regret bound that is also efficient in the finite regime as demonstrated by empirical studies. The non-asymptotic error bounds may be of broader interest as a tool to establish the …
University of Michigan（密歇根大学）；Microsoft Research（微软研究院）
Contextual bandits are a form of multi-armed bandit in which the agent has access to predictive side information (known as the context) for each arm at each time step, and have been used to model personalized news recommendation, ad placement, and other applications. In this work, we propose a multi-task learning framework for contextual bandit problems. Like multi-task learning in the batch setting, the goal is to leverage similarities in contexts for different arms so as to improve the agent's ability to predict rewards from contexts. We propose an upper confidence bound-based multi-task lea…
California Institute of Technology（加州理工学院）；Purdue University（普渡大学）
We study the efficiency of Thompson sampling for contextual bandits. Existing Thompson sampling-based algorithms need to construct a Laplace approximation (i.e., a Gaussian distribution) of the posterior distribution, which is inefficient to sample in high dimensional applications for general covariance matrices. Moreover, the Gaussian approximation may not be a good surrogate for the posterior distribution for general reward generating functions. We propose an efficient posterior sampling algorithm, viz., Langevin Monte Carlo Thompson Sampling (LMC-TS), that uses Markov Chain Monte Carlo (MCM…
Contextual multi-armed bandits are classical models in reinforcement learning for sequential decision-making associated with individual information. A widely-used policy for bandits is Thompson Sampling, where samples from a data-driven probabilistic belief about unknown parameters are used to select the control actions. For this computationally fast algorithm, performance analyses are available under full context-observations. However, little is known for problems that contexts are not fully observed. We propose a Thompson Sampling algorithm for partially observable contextual multi-armed ban…
We analyze the $K$-armed bandit problem where the reward for each arm is a noisy realization based on an observed context under mild nonparametric assumptions. We attain tight results for top-arm identification and a sublinear regret of $\widetilde{O}\Big(T^{\frac{1+D}{2+D}}\Big)$, where $D$ is the context dimension, for a modified UCB algorithm that is simple to implement ($k$NN-UCB). We then give global intrinsic dimension dependent and ambient dimension independent regret bounds. We also discuss recovering topological structures within the context space based on expected bandit performance …
We use surrogate losses to obtain several new regret bounds and new algorithms for contextual bandit learning. Using the ramp loss, we derive new margin-based regret bounds in terms of standard sequential complexity measures of a benchmark class of real-valued regression functions. Using the hinge loss, we derive an efficient algorithm with a $\sqrt{dT}$-type mistake bound against benchmark policies induced by $d$-dimensional regressors. Under realizability assumptions, our results also yield classical regret bounds.
Conservative mechanism is a desirable property in decision-making problems which balance the tradeoff between the exploration and exploitation. We propose the novel \emph{conservative contextual combinatorial cascading bandit ($C^4$-bandit)}, a cascading online learning game which incorporates the conservative mechanism. At each time step, the learning agent is given some contexts and has to recommend a list of items but not worse than the base strategy and then observes the reward by some stopping rules. We design the $C^4$-UCB algorithm to solve the problem and prove its n-step upper regret …
Lewis-Sigler Institute（刘易斯-西格勒研究所）；Princeton University（普林斯顿大学）；Department of Computer Science（计算机科学系）；Center for Statistics and Machine Learning（统计与机器学习中心）
We address the problem of regret minimization in logistic contextual bandits, where a learner decides among sequential actions or arms given their respective contexts to maximize binary rewards. Using a fast inference procedure with Polya-Gamma distributed augmentation variables, we propose an improved version of Thompson Sampling, a Bayesian formulation of contextual bandits with near-optimal performance. Our approach, Polya-Gamma augmented Thompson Sampling (PG-TS), achieves state-of-the-art performance on simulated and real data. PG-TS explores the action space efficiently and exploits high…
Sookmyung Women’s University（淑明女子大学）；UNIST（蔚山科学技术院）；University of California Berkeley（加州大学伯克利分校）；Seoul National University（首尔国立大学）
Non-stationarity is ubiquitous in human behavior and addressing it in the contextual bandits is challenging. Several works have addressed the problem by investigating semi-parametric contextual bandits and warned that ignoring non-stationarity could harm performances. Another prevalent human behavior is social interaction which has become available in a form of a social network or graph structure. As a result, graph-based contextual bandits have received much attention. In this paper, we propose "SemiGraphTS," a novel contextual Thompson-sampling algorithm for a graph-based semi-parametric rew…
Model misspecification is a major consideration in applications of statistical methods and machine learning. However, it is often neglected in contextual bandits. This paper studies a common form of misspecification, an inter-arm heterogeneity that is not captured by context. To address this issue, we assume that the heterogeneity arises due to arm-specific random variables, which can be learned. We call this setting a robust contextual bandit. The arm-specific variables explain the unknown inter-arm heterogeneity, and we incorporate them in the robust contextual estimator of the mean reward a…
University of Wisconsin-Madison（威斯康星大学麦迪逊分校）；Microsoft Research（微软研究院）
Designing efficient general-purpose contextual bandit algorithms that work with large -- or even continuous -- action spaces would facilitate application to important scenarios such as information retrieval, recommendation systems, and continuous control. While obtaining standard regret guarantees can be hopeless, alternative regret notions have been proposed to tackle the large action setting. We propose a smooth regret notion for contextual bandits, which dominates previously proposed alternatives. We design a statistically and computationally efficient algorithm -- for the proposed smooth r…
Tencent AI Lab（腾讯人工智能实验室）；HKUST（香港科技大学）；Tencent（腾讯）
In this paper, we investigate a novel problem of building contextual bandits in the vertical federated setting, i.e., contextual information is vertically distributed over different departments. This problem remains largely unexplored in the research community. To this end, we carefully design a customized encryption scheme named orthogonal matrix-based mask mechanism(O3M) for encrypting local contextual information while avoiding expensive conventional cryptographic techniques. We further apply the mechanism to two commonly-used bandit algorithms, LinUCB and LinTS, and instantiate two practic…
Northwestern University（西北大学）；University of Florida（佛罗里达大学）；New York University（纽约大学）；University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
Linear contextual bandit is an important class of sequential decision making problems with a wide range of applications to recommender systems, online advertising, healthcare, and many other machine learning related tasks. While there is a lot of prior research, tight regret bounds of linear contextual bandit with infinite action sets remain open. In this paper, we address this open problem by considering the linear contextual bandit with (changing) infinite action sets. We prove a regret upper bound on the order of $O(\sqrt{d^2T\log T})\times \text{poly}(\log\log T)$ where $d$ is the domain d…
We derive improved regret bounds for the Tsallis-INF algorithm of Zimmert and Seldin (2021). We show that in adversarial regimes with a $(Δ,C,T)$ self-bounding constraint the algorithm achieves $\mathcal{O}\left(\left(\sum_{i\neq i^*} \frac{1}{Δ_i}\right)\log_+\left(\frac{(K-1)T}{\left(\sum_{i\neq i^*} \frac{1}{Δ_i}\right)^2}\right)+\sqrt{C\left(\sum_{i\neq i^*}\frac{1}{Δ_i}\right)\log_+\left(\frac{(K-1)T}{C\sum_{i\neq i^*}\frac{1}{Δ_i}}\right)}\right)$ regret bound, where $T$ is the time horizon, $K$ is the number of arms, $Δ_i$ are the suboptimality gaps, $i^*$ is the best arm, $C$ is the co…
University of California, Los Angeles（加州大学洛杉矶分校）；Yale University（耶鲁大学）
We study federated contextual linear bandits, where $M$ agents cooperate with each other to solve a global contextual linear bandit problem with the help of a central server. We consider the asynchronous setting, where all agents work independently and the communication between one agent and the server will not trigger other agents' communication. We propose a simple algorithm named \texttt{FedLinUCB} based on the principle of optimism. We prove that the regret of \texttt{FedLinUCB} is bounded by $\tilde{O}(d\sqrt{\sum_{m=1}^M T_m})$ and the communication complexity is $\tilde{O}(dM^2)$, where…
Georgia Institute of Technology（佐治亚理工学院）；Microsoft Research（微软研究院）
Model selection in contextual bandits is an important complementary problem to regret minimization with respect to a fixed model class. We consider the simplest non-trivial instance of model-selection: distinguishing a simple multi-armed bandit problem from a linear contextual bandit problem. Even in this instance, current state-of-the-art methods explore in a suboptimal manner and require strong "feature-diversity" conditions. In this paper, we introduce new algorithms that a) explore in a data-adaptive manner, and b) provide model selection guarantees of the form $\mathcal{O}(d^α T^{1- α})$ …
University of Pennsylvania（宾夕法尼亚大学）；Cornell University（康奈尔大学）
We present efficient algorithms for the problem of contextual bandits with i.i.d. covariates, an arbitrary sequence of rewards, and an arbitrary class of policies. Our algorithm BISTRO requires d calls to the empirical risk minimization (ERM) oracle per round, where d is the number of actions. The method uses unlabeled data to make the problem computationally simple. When the ERM problem itself is computationally hard, we extend the approach by employing multiplicative approximation algorithms for the ERM. The integrality gap of the relaxation only enters in the regret bound rather than the be…
University of Oxford（牛津大学）；Bytedance AI Lab（字节跳动人工智能实验室）
Most off-policy evaluation methods for contextual bandits have focused on the expected outcome of a policy, which is estimated via methods that at best provide only asymptotic guarantees. However, in many applications, the expectation may not be the best measure of performance as it does not capture the variability of the outcome. In addition, particularly in safety-critical settings, stronger guarantees than asymptotic correctness may be required. To address these limitations, we consider a novel application of conformal prediction to contextual bandits. Given data collected under a behaviora…
We study the off-policy evaluation problem---estimating the value of a target policy using data collected by another policy---under the contextual bandit model. We consider the general (agnostic) setting without access to a consistent model of rewards and establish a minimax lower bound on the mean squared error (MSE). The bound is matched up to constants by the inverse propensity scoring (IPS) and doubly robust (DR) estimators. This highlights the difficulty of the agnostic contextual setting, in contrast with multi-armed bandits and contextual bandits with access to a consistent reward model…
Microsoft Research（微软研究院）；University of Arizona（亚利桑那大学）
We study contextual bandit learning with an abstract policy class and continuous action space. We obtain two qualitatively different regret bounds: one competes with a smoothed version of the policy class under no continuity assumptions, while the other requires standard Lipschitz assumptions. Both bounds exhibit data-dependent "zooming" behavior and, with no tuning, yield improved guarantees for benign problems. We also study adapting to unknown smoothness parameters, establishing a price-of-adaptivity and deriving optimal adaptive algorithms that require no additional information.
Stanford University（斯坦福大学）；University of Oxford（牛津大学）；New York University（纽约大学）
In this paper, we consider online learning in generalized linear contextual bandits where rewards are not immediately observed. Instead, rewards are available to the decision-maker only after some delay, which is unknown and stochastic. We study the performance of two well-known algorithms adapted to this delayed setting: one based on upper confidence bounds, and the other based on Thompson sampling. We describe modifications on how these two algorithms should be adapted to handle delays and give regret characterizations for both algorithms. Our results contribute to the broad landscape of con…
We formulate a new problem at the intersectionof semi-supervised learning and contextual bandits,motivated by several applications including clini-cal trials and ad recommendations. We demonstratehow Graph Convolutional Network (GCN), a semi-supervised learning approach, can be adjusted tothe new problem formulation. We also propose avariant of the linear contextual bandit with semi-supervised missing rewards imputation. We thentake the best of both approaches to develop multi-GCN embedded contextual bandit. Our algorithmsare verified on several real world datasets.
University of California, Los Angeles（加利福尼亚大学洛杉矶分校）；Google Research（谷歌研究院）
We study the stochastic contextual bandit problem, where the reward is generated from an unknown function with additive noise. No assumption is made about the reward function other than boundedness. We propose a new algorithm, NeuralUCB, which leverages the representation power of deep neural networks and uses a neural network-based random feature mapping to construct an upper confidence bound (UCB) of reward for efficient exploration. We prove that, under standard assumptions, NeuralUCB achieves $\tilde O(\sqrt{T})$ regret, where $T$ is the number of rounds. To the best of our knowledge, it i…
We study the stochastic multi-armed bandits problem in the presence of adversarial corruption. We present a new algorithm for this problem whose regret is nearly optimal, substantially improving upon previous work. Our algorithm is agnostic to the level of adversarial contamination and can tolerate a significant amount of corruption with virtually no degradation in performance.
University of California, Los Angeles（加州大学洛杉矶分校）；DeepMind（深度思考（DeepMind））；Adobe Research（Adobe研究院）
We study a general class of contextual bandits, where each context-action pair is associated with a raw feature vector, but the reward generating function is unknown. We propose a novel learning algorithm that transforms the raw feature vector using the last hidden layer of a deep ReLU neural network (deep representation learning), and uses an upper confidence bound (UCB) approach to explore in the last linear layer (shallow exploration). We prove that under standard assumptions, our proposed algorithm achieves $\tilde{O}(\sqrt{T})$ finite-time regret, where $T$ is the learning time horizon. C…
University of California at Davis（加州大学戴维斯分校）；University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
We study contextual bandits with budget and time constraints, referred to as constrained contextual bandits.The time and budget constraints significantly complicate the exploration and exploitation tradeoff because they introduce complex coupling among contexts over time.Such coupling effects make it difficult to obtain oracle solutions that assume known statistics of bandits. To gain insight, we first study unit-cost systems with known context distribution. When the expected rewards are known, we develop an approximation of the oracle, referred to Adaptive-Linear-Programming (ALP), which achi…
Over the past decade, contextual bandit algorithms have been gaining in popularity due to their effectiveness and flexibility in solving sequential decision problems---from online advertising and finance to clinical trial design and personalized medicine. At the same time, there are, as of yet, surprisingly few options that enable researchers and practitioners to simulate and compare the wealth of new and existing bandit algorithms in a standardized way. To help close this gap between analytical research and empirical evaluation the current paper introduces the object-oriented R package "conte…
Computationally efficient contextual bandits are often based on estimating a predictive model of rewards given contexts and arms using past data. However, when the reward model is not well-specified, the bandit algorithm may incur unexpected regret, so recent work has focused on algorithms that are robust to misspecification. We propose a simple family of contextual bandit algorithms that adapt to misspecification error by reverting to a good safe policy when there is evidence that misspecification is causing a regret increase. Our algorithm requires only an offline regression oracle to ensure…
University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
In this paper, we propose a novel neural exploration strategy in contextual bandits, EE-Net, distinct from the standard UCB-based and TS-based approaches. Contextual multi-armed bandits have been studied for decades with various applications. To solve the exploitation-exploration tradeoff in bandits, there are three main techniques: epsilon-greedy, Thompson Sampling (TS), and Upper Confidence Bound (UCB). In recent literature, linear contextual bandits have adopted ridge regression to estimate the reward function and combine it with TS or UCB strategies for exploration. However, this line of w…
An adversarial bandit problem with memory constraints is studied where only the statistics of a subset of arms can be stored. A hierarchical learning policy that requires only a sublinear order of memory space in terms of the number of arms is developed. Its sublinear regret orders with respect to the time horizon are established for both weak regret and shifting regret. This work appears to be the first on memory-constrained bandit problems under the adversarial setting.
We consider the model selection task in the stochastic contextual bandit setting. Suppose we are given a collection of base contextual bandit algorithms. We provide a master algorithm that combines them and achieves the same performance, up to constants, as the best base algorithm would, if it had been run on its own. Our approach only requires that each algorithm satisfy a high probability regret bound. Our procedure is very simple and essentially does the following: for a well chosen sequence of probabilities $(p_{t})_{t\geq 1}$, at each round $t$, it either chooses at random which candidate…
Microsoft Research NYC（微软研究院纽约）；Microsoft Research New England（微软新英格兰研究院）
This paper studies semiparametric contextual bandits, a generalization of the linear stochastic bandit problem where the reward for an action is modeled as a linear function of known action features confounded by an non-linear action-independent term. We design new algorithms that achieve $\tilde{O}(d\sqrt{T})$ regret over $T$ rounds, when the linear function is $d$-dimensional, which matches the best known bounds for the simpler unconfounded case and improves on a recent result of Greenewald et al. (2017). Via an empirical evaluation, we show that our algorithms outperform prior approaches wh…
