Stochastic Linear Contextual Bandits with Diverse Contexts

Weiqiang Wu, Jing Yang, Cong Shen
Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, PMLR 108:2392-2401, 2020.

Abstract

In this paper, we investigate the impact of context diversity on stochastic linear contextual bandits. As opposed to the previous view that contexts lead to more difficult bandit learning, we show that when the contexts are sufficiently diverse, the learner is able to utilize the information obtained during exploitation to shorten the exploration process, thus achieving reduced regret. We design the LinUCB-d algorithm, and propose a novel approach to analyze its regret performance. The main theoretical result is that under the diverse context assumption, the cumulative expected regret of LinUCB-d is bounded by a constant. As a by-product, our results improve the previous understanding of LinUCB and strengthen its performance guarantee.

Cite this Paper


BibTeX
@InProceedings{pmlr-v108-wu20c, title = {Stochastic Linear Contextual Bandits with Diverse Contexts}, author = {Wu, Weiqiang and Yang, Jing and Shen, Cong}, booktitle = {Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics}, pages = {2392--2401}, year = {2020}, editor = {Silvia Chiappa and Roberto Calandra}, volume = {108}, series = {Proceedings of Machine Learning Research}, month = {26--28 Aug}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v108/wu20c/wu20c.pdf}, url = { http://proceedings.mlr.press/v108/wu20c.html }, abstract = {In this paper, we investigate the impact of context diversity on stochastic linear contextual bandits. As opposed to the previous view that contexts lead to more difficult bandit learning, we show that when the contexts are sufficiently diverse, the learner is able to utilize the information obtained during exploitation to shorten the exploration process, thus achieving reduced regret. We design the LinUCB-d algorithm, and propose a novel approach to analyze its regret performance. The main theoretical result is that under the diverse context assumption, the cumulative expected regret of LinUCB-d is bounded by a constant. As a by-product, our results improve the previous understanding of LinUCB and strengthen its performance guarantee. } }
Endnote
%0 Conference Paper %T Stochastic Linear Contextual Bandits with Diverse Contexts %A Weiqiang Wu %A Jing Yang %A Cong Shen %B Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2020 %E Silvia Chiappa %E Roberto Calandra %F pmlr-v108-wu20c %I PMLR %P 2392--2401 %U http://proceedings.mlr.press/v108/wu20c.html %V 108 %X In this paper, we investigate the impact of context diversity on stochastic linear contextual bandits. As opposed to the previous view that contexts lead to more difficult bandit learning, we show that when the contexts are sufficiently diverse, the learner is able to utilize the information obtained during exploitation to shorten the exploration process, thus achieving reduced regret. We design the LinUCB-d algorithm, and propose a novel approach to analyze its regret performance. The main theoretical result is that under the diverse context assumption, the cumulative expected regret of LinUCB-d is bounded by a constant. As a by-product, our results improve the previous understanding of LinUCB and strengthen its performance guarantee.
APA
Wu, W., Yang, J. & Shen, C.. (2020). Stochastic Linear Contextual Bandits with Diverse Contexts. Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 108:2392-2401 Available from http://proceedings.mlr.press/v108/wu20c.html .

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