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Practical Contextual Bandits with Regression Oracles
Dylan Foster · Alekh Agarwal · Miroslav Dudik · Haipeng Luo · Robert Schapire

Thu Jul 12 07:20 AM -- 07:40 AM (PDT) @ A5

A major challenge in contextual bandits is to design general-purpose algorithms that are both practically useful and theoretically well-founded. We present a new technique that has the empirical and computational advantages of realizability-based approaches combined with the flexibility of agnostic methods. Our algorithms leverage the availability of a regression oracle for the value-function class, a more realistic and reasonable oracle than the classification oracles over policies typically assumed by agnostic methods. Our approach generalizes both UCB and LinUCB to far more expressive possible model classes and achieves low regret under certain distributional assumptions. In an extensive empirical evaluation, we find that our approach typically matches or outperforms both realizability-based and agnostic baselines.

Author Information

Dylan Foster (Cornell University)
Alekh Agarwal (Microsoft Research)
Miroslav Dudik (Microsoft Research)
Miroslav Dudik

Miroslav Dudík is a Senior Principal Researcher in machine learning at Microsoft Research, NYC. His research focuses on combining theoretical and applied aspects of machine learning, statistics, convex optimization, and algorithms. Most recently he has worked on contextual bandits, reinforcement learning, and algorithmic fairness. He received his PhD from Princeton in 2007. He is a co-creator of the Fairlearn toolkit for assessing and improving the fairness of machine learning models and of the Maxent package for modeling species distributions, which is used by biologists around the world to design national parks, model the impacts of climate change, and discover new species.

Haipeng Luo (University of Southern California)
Robert Schapire (Microsoft Research)

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