Part of Advances in Neural Information Processing Systems 32 (NeurIPS 2019)
Zhengyuan Zhou, Renyuan Xu, Jose Blanchet
In this paper, we consider online learning in generalized linear contextual bandits where rewards are not immediately observed. Instead, rewards are available to the decision maker only after some delay, which is unknown and stochastic, even though a decision must be made at each time step for an incoming set of contexts. We study the performance of upper confidence bound (UCB) based algorithms adapted to this delayed setting. In particular, we design a delay-adaptive algorithm, which we call Delayed UCB, for generalized linear contextual bandits using UCB-style exploration and establish regret bounds under various delay assumptions. In the important special case of linear contextual bandits, we further modify this algorithm and establish a tighter regret bound under the same delay assumptions. Our results contribute to the broad landscape of contextual bandits literature by establishing that UCB algorithms, which are widely deployed in modern recommendation engines, can be made robust to delays.