Part of Advances in Neural Information Processing Systems 28 (NIPS 2015)
Huasen Wu, R. Srikant, Xin Liu, Chong Jiang
We study contextual bandits with budget and time constraints under discrete contexts, referred to as constrained contextual bandits. The time and budget constraints significantly complicate the exploration and exploitation tradeoff because they introduce complex coupling among contexts over time. To gain insight, we first study unit-cost systems with known context distribution. When the expected rewards are known, we develop an approximation of the oracle, referred to Adaptive-Linear-Programming(ALP), which achieves near-optimality and only requires the ordering of expected rewards. With these highly desirable features, we then combine ALP with the upper-confidence-bound (UCB) method in the general case where the expected rewards are unknown a priori. We show that the proposed UCB-ALP algorithm achieves logarithmic regret except in certain boundary cases.Further, we design algorithms and obtain similar regret analysis results for more general systems with unknown context distribution or heterogeneous costs. To the best of our knowledge, this is the first work that shows how to achieve logarithmic regret in constrained contextual bandits. Moreover, this work also sheds light on the study of computationally efficient algorithms for general constrained contextual bandits.