Doubly Robust Thompson Sampling with Linear Payoffs

Wonyoung Kim, Gi-Soo Kim, Myunghee Cho Paik

Keywords: Linear contextual bandits, Thompson Sampling, Using contexts of all arms, An improved regret bound

Abstract:

A challenging aspect of the bandit problem is that a stochastic reward is observed only for the chosen arm and the rewards of other arms remain missing.
The dependence of the arm choice on the past context and reward pairs compounds the complexity of regret analysis.
We propose a novel multi-armed contextual bandit algorithm called Doubly Robust Thompson Sampling (DRTS) employing the doubly-robust estimator used in missing data literature to Thompson Sampling with contexts (\texttt{LinTS}).
Different from previous works relying on missing data techniques (Dimakopoulou et al. [2019], Kim and Paik [2019]), the proposed algorithm is designed to allow a novel additive regret decomposition leading to an improved regret bound with the order of $\tilde{O}(\phi^{-2}\sqrt{T})$, where $\phi^2$ is the minimum eigenvalue of the covariance matrix of contexts.
This is the first regret bound of \texttt{LinTS} using $\phi^2$ without $d$, where $d$ is the dimension of the context.
Applying the relationship between $\phi^2$ and $d$, the regret bound of the proposed algorithm is $\tilde{O}(d\sqrt{T})$ in many practical scenarios, improving the bound of \texttt{LinTS} by a factor of $\sqrt{d}$.
A benefit of the proposed method is that it uses all the context data, chosen or not chosen, thus allowing to circumvent the technical definition of unsaturated arms used in theoretical analysis of \texttt{LinTS}.
Empirical studies show the advantage of the proposed algorithm over \texttt{LinTS}.

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TL;DR: A novel Thompson Sampling algorithm which utilizes contexts of all arms with an improved regret bound.

Code: https://github.com/gisoo1989/DRTS