Weighted Linear Bandits in Non-Stationary Environments

Abstract

We consider a stochastic linear bandit model in which the available actions correspond to arbitrary context vectors whose associated rewards follow a non-stationary linear regression model. In this setting, the unknown regression parameter is allowed to vary in time. To address this problem, we propose DLinUCB, a novel optimistic algorithm based on discounted linear regression, where exponential weights are used to smoothly forget the past. This involves studying the deviations of the sequential weighted least-squares estimator under generic assumptions. As a by-product, we obtain novel deviation results that can be used beyond non-stationary environments. We provide theoretical guarantees on the behavior of DLinUCB in both slowly-varying and abruptly-changing environments. We obtain an upper bound on the dynamic regret that is of order $d^{\frac{2}{3}} B_T^{\frac{1}{3}} T^{\frac{2}{3}}$, where $B_T$ is a measure of non-stationarity ($d$ and $T$ being, respectively, dimension and horizon). This rate is known to be optimal. We also illustrate the empirical performance of DLinUCB and compare it with recently proposed alternatives in simulated environments.

Publication
NeurIPS2019
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Yoan Russac
Machine Learning Researcher

My research interests include sequential learning, bandits theory and machine learning.