We introduce the bilinear bandit problem with lowrank structure in which an action takes the form of a pair of arms from two different entity types, and the reward is a bilinear function of the known feature vectors of the arms. The unknown in the problem is a $d1$ by $d2$ matrix $\mathbf{\Theta}^$ that defines the reward, and has low rank $r \ll \min{d_1,d_2}$. Determination of $\mathbf{\Theta}^$ with this lowrank structure poses a significant challenge in finding the right explorationexploitation tradeoff. In this work, we propose a new twostage algorithm called ExploreSubspaceThenRefine'' (ESTR). The first stage is an explicit subspace exploration, while the second stage is a linear bandit algorithm called
almostlowdimensional OFUL'' (LowOFUL) that exploits and further refines the estimated subspace via a regularization technique. We show that the regret of ESTR is $\widetilde{\mathcal{O}}((d1+d2)^{3/2} \sqrt{r T})$ where $\widetilde{\mathcal{O}}$ hides logarithmic factors and $T$ is the time horizon, which improves upon the regret of $\widetilde{\mathcal{O}}(d1d2\sqrt{T})$ attained for a na\"ive linear bandit reduction. We conjecture that the regret bound of ESTR is unimprovable up to polylogarithmic factors, and our preliminary experiment shows that ESTR outperforms a na\"ive linear bandit reduction.
Author Information
KwangSung Jun (Boston University)
Rebecca Willett (U Chicago)
Stephen Wright (University of WisconsinMadison)
Robert Nowak (University of WisconsionMadison)
Robert Nowak holds the Nosbusch Professorship in Engineering at the University of WisconsinMadison, where his research focuses on signal processing, machine learning, optimization, and statistics.
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