Unifying Clustered and Non-stationary Bandits

Abstract: Non-stationary bandits and online clustering of bandits lift the restrictive assumptions in contextual bandits and provide solutions to many important real-world scenarios. Though the essence in solving these two problems overlaps considerably, they have been studied independently. In this paper, we connect these two strands of bandit research under the notion of test of homogeneity, which seamlessly addresses change detection for non-stationary bandit and cluster identification for online clustering of bandit in a unified solution framework. Rigorous regret analysis and extensive empirical evaluations demonstrate the value of our proposed solution, especially its flexibility in handling various environment assumptions.