2022-06-28-ariu22a.md

title	booktitle	abstract	layout	series	publisher	issn	id	month	tex_title	firstpage	lastpage	page	order	cycles	bibtex_author	author	date	address	container-title	volume	genre	issued	pdf	extras
Thresholded Lasso Bandit	Proceedings of the 39th International Conference on Machine Learning	In this paper, we revisit the regret minimization problem in sparse stochastic contextual linear bandits, where feature vectors may be of large dimension $d$, but where the reward function depends on a few, say $s_0\ll d$, of these features only. We present Thresholded Lasso bandit, an algorithm that (i) estimates the vector defining the reward function as well as its sparse support, i.e., significant feature elements, using the Lasso framework with thresholding, and (ii) selects an arm greedily according to this estimate projected on its support. The algorithm does not require prior knowledge of the sparsity index $s_0$ and can be parameter-free under some symmetric assumptions. For this simple algorithm, we establish non-asymptotic regret upper bounds scaling as $\mathcal{O}( \log d + \sqrt{T} )$ in general, and as $\mathcal{O}( \log d + \log T)$ under the so-called margin condition (a probabilistic condition on the separation of the arm rewards). The regret of previous algorithms scales as $\mathcal{O}( \log d + \sqrt{T \log (d T)})$ and $\mathcal{O}( \log T \log d)$ in the two settings, respectively. Through numerical experiments, we confirm that our algorithm outperforms existing methods.	inproceedings	Proceedings of Machine Learning Research	PMLR	2640-3498	ariu22a	0	Thresholded Lasso Bandit	878	928	878-928	878	false	Ariu, Kaito and Abe, Kenshi and Proutiere, Alexandre	given family Kaito Ariu given family Kenshi Abe given family Alexandre Proutiere	2022-06-28		Proceedings of the 39th International Conference on Machine Learning	162	inproceedings	date-parts 2022 6 28	https://proceedings.mlr.press/v162/ariu22a/ariu22a.pdf