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Beyond UCB: Optimal and Efficient Contextual Bandits with Regression Oracles

ICML 2020 · Bandits and online learning › Contextual bandits and Thompson sampling · approach: Oracle-efficient contextual bandits · 35 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Reduce finite-action contextual bandits to an online regression oracleMAIN · Realizable contextual bandits with adversarially chosen contextsregret: 4√(KT·RegSquare) + 8√(KT log(2δ^{-1}))Helped
Use the Vovk-Azoury-Warmuth regression oracleMAIN · Low-dimensional linear contextual banditsregret: O(√(dKT log(T/d))) versus O(√(dT log^3(KT)))Mixed
Use Online Gradient Descent as the regression oracleMAIN · High-dimensional linear contextual banditsregret: O(K^{1/2}·T^{3/4})Mixed
Use the general GLMtron variantMAIN · Generalized linear contextual banditsregret: O(T^{3/4})Helped
Use second-order GLMtron and assume σ' ≥ cσ > 0MAIN · Generalized linear contextual banditsregret: O(√(dKT log T/cσ^2))Helped
Adapt the regression oracle to metric entropy using a refining empirical coverMAIN · Realizable contextual bandits with entropy growth ε^{-p}regret: Õ((KT)^{(1+p)/(2+p)} + √(K^2T log(δ^{-1})))Helped
Allow ε-approximate realizabilityMAIN · Misspecified contextual bandits with finite actionspseudoregret: + ε·5√K THurt
Allow losses to be ε-close to a class function under an adaptive adversaryMAIN · Misspecified contextual bandits with adaptive adversarypseudoregret: + ε·√(2K)THurt
Extend the reduction to actions in the d_A-dimensional unit ℓ_2 ballINFINITE · Contextual bandits with continuous actionsregret: 18√(d_A T·RegSquare) + 90√(d_A T log(δ^{-1}))Helped
Require logarithmic dependence on class size for gap-dependent regretAny contextual bandit algorithm · Finite two-arm classes with uniform gap 1/4expected regret: ≥ 1/16√THurt
Use an online regression oracle rather than an offline classification oracleOracle-based contextual bandit learning · Realizable contextual banditsmemory requirementsHelped

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