2020/07/16 by Min-hwan Oh, Oh, Min-hwan, Garud Iyengar +3 · 5 citations
Decision Sciences · Engineering · #Advanced Bandit Algorithms Research #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Smart Grid Energy Management #Sparse and Compressive Sensing Techniques
paper · pdf · doi:10.48550/arxiv.2007.08477
openalex publication_date 2020/07/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider a stochastic contextual bandit problem where the dimension d of the feature vectors is potentially large, however, only a sparse subset of features of cardinality s0 ≪ d affect the reward function. Essentially all existing algorithms for sparse bandits require a priori knowledge of the value of the sparsity index s0. This knowledge is almost never available in practice, and misspecification of this parameter can lead to severe deterioration in the performance of existing methods. The main contribution of this paper is to propose an algorithm that does not require prior knowledge of the sparsity index s0 and establish tight regret bounds on its performance under mild conditions. We also comprehensively evaluate our proposed algorithm numerically and show that it consistently outperforms existing methods, even when the correct sparsity index is revealed to them but is kept hidden from our algorithm.