Feature and Parameter Selection in Stochastic Linear Bandits

Ahmadreza Moradipari, Berkay Turan, Yasin Abbasi-Yadkori, Mahnoosh Alizadeh, Mohammad Ghavamzadeh

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...