We consider a contextual bandit problem with S contexts and K actions. In each round t = 1,2,... the learner observes a random context and chooses an action based on its past experience. The learner then observes a random reward whose mean is a function of the context and the action for the round. Under the assumption that the contexts can be lumped into r min{S,K}groups such that the mean reward for the various actions is the same for any two contexts that are in the same group, we give an algorithm that outputs an ε-optimal policy after using at most eO(r(S+K)/ε2) samples with high probability and provide a matching Ω(r(S + K)/ε2) lower bound. In the regret minimization setting, we give an algorithm whose cumulative regret up to time T is bounded by eO( p r3(S+K)T). To the best of our knowledge, we are the first to show the near-optimal sample complexity in the PAC setting and eO( p poly(r)(S+K)T)minimax regret in the online setting for this problem. We also show our algorithms can be applied to more general low-rank bandits and get improved regret bounds in some scenarios.

Location estimation is one of the most basic questions in parametric statistics. Suppose we have a known distribution density f, and we get ni.i.d.

Consider a recommendation platform that interacts with a finite set of users in an online fashion. Users arrive at the platform and receive a recommendation.

Consequently, standard online convex optimization algorithms do not directly apply.