arXiv Machine Learning

Explore Once, Evaluate Many: Multiple Policy Evaluation for Stochastic Linear Bandits

arXiv:2610. 22252v1 Announce Type: new Abstract: We study how to evaluate $K$ target policies simultaneously in stochastic contextual bandits with linear reward structure.

arXiv Machine Learning
Oct 22

The Price of Current-Effect Inference in Nonstationary Multi-Armed Bandits

The paper studies the trade‑off between maximizing rewards and accurately estimating current treatment effects in nonstationary multi‑armed bandits. For $K$‑armed bandits with H"older‑smooth mean rewards, the authors derive minimax bounds on expected dynamic regret under a high‑probability simultaneous coverage requirement for all current effects. They propose the TRACE algorithm, which achieves a regret–precision trade‑off that separates reward‑learning regret from the unavoidable cost of refreshing current‑effect estimates, and extend the method with an empirical‑Bernstein e‑process to adapt exploration while preserving worst‑case guarantees.

By Sharan Sahu, Martin T. Wells
arXiv Machine Learning
Oct 16

Follow the Perturbed Leader for Linear Bandits: $\sqrt{T}$ Regret over General Convex Sets

The paper presents the first adversarial linear bandit algorithm based on Follow-the-Perturbed-Leader (FTPL) that achieves √T regret over general convex action sets. It achieves a regret of ≥O(d^{5/4}√T) using only linear optimization oracles, and a near‑optimal ≥O(d√T) regret when an optimal‑design exploration distribution is available. The work improves on previous FTPL algorithms and generalizes earlier results for special action sets, offering a simpler and more computationally efficient approach that relies on adaptive perturbation distributions and a new analysis framework based on Fisher information.

By Chen-Yu Wei