A Neural Networks Committee for the Contextual Bandit Problem

This paper presents a new contextual bandit algorithm, NeuralBandit, which does not need hypothesis on stationarity of contexts and rewards. Several neural networks are trained to modelize the value of rewards knowing the context. Two variants, based on multi-experts approach, are proposed to choose online the parameters of multi-layer perceptrons. The proposed algorithms are successfully tested on a large dataset with and without stationarity of rewards.