Skip to yearly menu bar Skip to main content


Poster

Stochastic Bandits with Context Distributions

Johannes Kirschner · Andreas Krause

East Exhibition Hall B, C #44

Keywords: [ Decision and Control ] [ Reinforcement Learning and Planning ] [ Bandit Algorithms ] [ Algorithms ]


Abstract:

We introduce a stochastic contextual bandit model where at each time step the environment chooses a distribution over a context set and samples the context from this distribution. The learner observes only the context distribution while the exact context realization remains hidden. This allows for a broad range of applications where the context is stochastic or when the learner needs to predict the context. We leverage the UCB algorithm to this setting and show that it achieves an order-optimal high-probability bound on the cumulative regret for linear and kernelized reward functions. Our results strictly generalize previous work in the sense that both our model and the algorithm reduce to the standard setting when the environment chooses only Dirac delta distributions and therefore provides the exact context to the learner. We further analyze a variant where the learner observes the realized context after choosing the action. Finally, we demonstrate the proposed method on synthetic and real-world datasets.

Live content is unavailable. Log in and register to view live content