A Unified Approach to Translate Classical Bandit Algorithms to the Structured Bandit Setting

Abstract

We consider a finite-armed structured bandit problem in which mean rewards of different arms are known functions of a common hidden parameter 8*. Since we do not place any restrictions on these functions, the problem setting subsumes several previously studied frameworks that assume linear or invertible reward functions. We propose a novel approach to gradually estimate the hidden 8* and use the estimate together with the mean reward functions to substantially reduce exploration of sub-optimal arms. This approach enables us to fundamentally generalize any classical bandit algorithm including UCB and Thompson Sampling to the structured bandit setting. We prove via regret analysis that our proposed UCB-C algorithm (structured bandit versions of UCB) pulls only a subset of the suboptimal arms O(log T) times while the other sub-optimal arms (referred to as non-competitive arms) are pulled O(1) times. As a result, in cases where all sub-optimal arms are non-competitive, which can happen in many practical scenarios, the proposed algorithm achieves bounded regret. We also conduct simulations on the MOVIELENS recommendations dataset to demonstrate the improvement of the proposed algorithms over existing structured bandit algorithms.