arXiv Machine Learning October 16, 2026 By Haonan Xu, Yingying Li

Set Membership Estimation for Stochastic Linear Contextual Bandits

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The paper explores the use of set membership estimation (SME) for uncertainty quantification in linear contextual bandits, contrasting it with the more common confidence‑interval approach. An SME‑based optimism‑in‑the‑face‑of‑uncertainty (OFU) algorithm is proposed, and a sublinear regret bound is proven under suitable assumptions. Simulations show that SME‑OFU performs favorably compared to existing methods.

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