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- W4287122579 abstract "We study two model selection settings in stochastic linear bandits (LB). In the first setting, which we refer to as feature selection, the expected reward of the LB problem is in the linear span of at least one of $M$ feature maps (models). In the second setting, the reward parameter of the LB problem is arbitrarily selected from $M$ models represented as (possibly) overlapping balls in $mathbb R^d$. However, the agent only has access to misspecified models, i.e.,~estimates of the centers and radii of the balls. We refer to this setting as parameter selection. For each setting, we develop and analyze a computationally efficient algorithm that is based on a reduction from bandits to full-information problems. This allows us to obtain regret bounds that are not worse (up to a $sqrt{log M}$ factor) than the case where the true model is known. This is the best-reported dependence on the number of models $M$ in these settings. Finally, we empirically show the effectiveness of our algorithms using synthetic and real-world experiments." @default.
- W4287122579 created "2022-07-25" @default.
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- W4287122579 date "2021-06-09" @default.
- W4287122579 modified "2023-09-27" @default.
- W4287122579 title "Feature and Parameter Selection in Stochastic Linear Bandits" @default.
- W4287122579 doi "https://doi.org/10.48550/arxiv.2106.05378" @default.
- W4287122579 hasPublicationYear "2021" @default.
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