Contextual Bandits with Stochastic Experts

Abstract

We consider the problem of contextual bandits with stochastic experts, which is a variation of the traditional stochastic contextual bandit with experts problem. In our problem setting, we assume access to a class of stochastic experts, where each expert is a conditional distribution over the arms given a context. We propose upper-confidence bound (UCB) algorithms for this problem, which employ two different importance sampling based estimators for the mean reward for each expert. Both these estimators leverage information leakage among the experts, thus using samples collected under all the experts to estimate the mean reward of any given expert. This leads to instance dependent regret bounds. We implement our algorithm with stochastic experts generated from cost-sensitive classification oracles and show superior empirical performance on real-world datasets, when compared to other state of the art contextual bandit algorithms.

Publication
Accepted in AISTATS,2018
Date