Linearizing contextual bandits with latent state dynamics

Elliot Nelson, Debarun Bhattacharjya, Tian Gao, Miao Liu, Djallel Bouneffouf, Pascal Poupart

Abstract: In many real-world applications of multi-armed bandit problems, both rewards and contexts are often influenced by confounding latent variables which evolve stochastically over time. While the obser...