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

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