A delayed UCB algorithm for linear bandits with sub-Gaussian but temporally dependent noise achieves sublinear regret that nearly recovers i.i.d. rates when dependence decays geometrically.
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Linear Bandits with Non-i.i.d. Noise
A delayed UCB algorithm for linear bandits with sub-Gaussian but temporally dependent noise achieves sublinear regret that nearly recovers i.i.d. rates when dependence decays geometrically.