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Contextual Bandits with Online Neural Regression (2312.07145v1)

Published 12 Dec 2023 in cs.LG and stat.ML

Abstract: Recent works have shown a reduction from contextual bandits to online regression under a realizability assumption [Foster and Rakhlin, 2020, Foster and Krishnamurthy, 2021]. In this work, we investigate the use of neural networks for such online regression and associated Neural Contextual Bandits (NeuCBs). Using existing results for wide networks, one can readily show a ${\mathcal{O}}(\sqrt{T})$ regret for online regression with square loss, which via the reduction implies a ${\mathcal{O}}(\sqrt{K} T{3/4})$ regret for NeuCBs. Departing from this standard approach, we first show a $\mathcal{O}(\log T)$ regret for online regression with almost convex losses that satisfy QG (Quadratic Growth) condition, a generalization of the PL (Polyak-\L ojasiewicz) condition, and that have a unique minima. Although not directly applicable to wide networks since they do not have unique minima, we show that adding a suitable small random perturbation to the network predictions surprisingly makes the loss satisfy QG with unique minima. Based on such a perturbed prediction, we show a ${\mathcal{O}}(\log T)$ regret for online regression with both squared loss and KL loss, and subsequently convert these respectively to $\tilde{\mathcal{O}}(\sqrt{KT})$ and $\tilde{\mathcal{O}}(\sqrt{KL*} + K)$ regret for NeuCB, where $L*$ is the loss of the best policy. Separately, we also show that existing regret bounds for NeuCBs are $\Omega(T)$ or assume i.i.d. contexts, unlike this work. Finally, our experimental results on various datasets demonstrate that our algorithms, especially the one based on KL loss, persistently outperform existing algorithms.

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