A New Algorithm for Non-stationary Contextual Bandits: Efficient, Optimal, and Parameter-free

3 Feb 2019 Yifang Chen Chung-Wei Lee Haipeng Luo Chen-Yu Wei

We propose the first contextual bandit algorithm that is parameter-free, efficient, and optimal in terms of dynamic regret. Specifically, our algorithm achieves dynamic regret $\mathcal{O}(\min\{\sqrt{ST}, \Delta^{\frac{1}{3}}T^{\frac{2}{3}}\})$ for a contextual bandit problem with $T$ rounds, $S$ switches and $\Delta$ total variation in data distributions... (read more)

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