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Truncated LinUCB for Stochastic Linear Bandits

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arxiv 2202.11735 v4 pith:FXY3RYTO submitted 2022-02-23 stat.ML cs.LGmath.STstat.TH

classification stat.MLcs.LGmath.STstat.TH
keywords linucbtr-linucbbanditslineartimealgorithmcontextsdimensional
verification ladder T0 review T1 audit T2 compute T3 formal
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abstract

This paper considers contextual bandits with a finite number of arms, where the contexts are independent and identically distributed $d$-dimensional random vectors, and the expected rewards are linear in both the arm parameters and contexts. The LinUCB algorithm, which is near minimax optimal for related linear bandits, is shown to have a cumulative regret that is suboptimal in both the dimension $d$ and time horizon $T$, due to its over-exploration. A truncated version of LinUCB is proposed and termed "Tr-LinUCB", which follows LinUCB up to a truncation time $S$ and performs pure exploitation afterwards. The Tr-LinUCB algorithm is shown to achieve $O(d\log(T))$ regret if $S = Cd\log(T)$ for a sufficiently large constant $C$, and a matching lower bound is established, which shows the rate optimality of Tr-LinUCB in both $d$ and $T$ under a low dimensional regime. Further, if $S = d\log^{\kappa}(T)$ for some $\kappa>1$, the loss compared to the optimal is a multiplicative $\log\log(T)$ factor, which does not depend on $d$. This insensitivity to overshooting in choosing the truncation time of Tr-LinUCB is of practical importance.

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  1. Minimax Rate-Optimal Algorithms for High-Dimensional Stochastic Linear Bandits

    math.ST 2025-05 conditional novelty 8.0 of 10

    Thresholded Lasso achieves the minimax cumulative estimation error s0(log d + log T) in sequential sparse regression, and a three-stage algorithm using it is nearly minimax optimal for high-dimensional linear bandits.

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