Regret Bounds for Generalized Linear Bandits under Parameter Drift (2103.05750v1)

Abstract: Generalized Linear Bandits (GLBs) are powerful extensions to the Linear Bandit (LB) setting, broadening the benefits of reward parametrization beyond linearity. In this paper we study GLBs in non-stationary environments, characterized by a general metric of non-stationarity known as the variation-budget or \emph{parameter-drift}, denoted $B_T$. While previous attempts have been made to extend LB algorithms to this setting, they overlook a salient feature of GLBs which flaws their results. In this work, we introduce a new algorithm that addresses this difficulty. We prove that under a geometric assumption on the action set, our approach enjoys a $\tilde{\mathcal{O}}(B_T^{1/3}T^{2/3})$ regret bound. In the general case, we show that it suffers at most a $\tilde{\mathcal{O}}(B_T^{1/5}T^{4/5})$ regret. At the core of our contribution is a generalization of the projection step introduced in Filippi et al. (2010), adapted to the non-stationary nature of the problem. Our analysis sheds light on central mechanisms inherited from the setting by explicitly splitting the treatment of the learning and tracking aspects of the problem.