We consider a linear contextual bandit model where contexts and rewards are governed by a finite hidden Markov chain. We first revisit the simplified model by Nelson et al. (2022), in which rewards are linear functions of the posterior probabilities over the hidden states given the observed contexts (called beliefs), rather than functions of the hidden states themselves. This simplified model may be handled through a direct reduction to standard linear contextual bandits. We extend the theoretical analysis of this reduction to take into account the estimation of the parameters of the hidden Markov model [HMM] in the regret bound and to provide high-probability bounds not depending anymore on the reward functions and only depending on the model through the estimation of the HMM parameters. Second, and most importantly, we instead study the more natural and more complex model incorporating direct dependencies in the hidden states (on top of dependencies on the observed contexts, as is natural for contextual bandits). Under a classic HMM forgetting condition, the main algorithmic tool introduced to cope with the various statistical dependencies that the reward structure introduces is to only periodically update reward-model parameters.
Figures & tables
Figure 1
Figure 1: Pseudo-regrets averaged over 100 runs. Solid lines correspond to averages and shaded areas to ±2 standard errors.
Table 1: Emission probabilities νh by latent state h∈[2] : for readability, the 20 values are presented through 5×4 tables, with rows corresponding to Risk score levels and columns, to Revenue levels.
Intercept
0.05
Context variables
Coefficients for each level
Level 1
Level 2
Level 3
Level 4
Level 5
Risk score
0.067
0.05
0.033
0.017
0
Revenue
0
0.017
0.025
0.033
Age
0
0.008
0.017
0.008
0
Education
0
0
0.017
0.033
Appendix
Table 2: Coefficients for the linear reward model under inflation h=1 .
Intercept
0.017
Context variables
Coefficients for each level
Level 1
Level 2
Level 3
Level 4
Level 5
Risk score
0.067
0.05
0.033
0.017
0
Revenue
0
0.017
0.025
0.033
Age
0
0.008
0.017
0.008
0
Education
0
0
0.017
0.033
Appendix
Table 3: Coefficients for the linear reward model under recession h=2 .
Figure 8
Figure 2: Pseudo-regrets averaged over 100 runs. Solid lines correspond to averages and shaded areas to ±2 standard errors. The figure compares Plain LinUCB , LinUCB-Belief-Complex , and LinUCB-Belief-Simplified , for ℓ∈{1,15,37,224} , using the best exploration constants C and regularization parameters λ selected in hindsight from the grids considered.
Figure 3: Pseudo-regrets averaged over 100 runs. Solid lines correspond to averages and shaded areas to ±2 standard errors. The figure compares Plain LinUCB for different values of C , using, for each C , the best regularization parameter λ selected in hindsight from its grid.
(a) LinUCB-Belief-Complex
Plain LinUCB
λ / C
5e-06
5e-05
0.0005
0.005
0.05
0.5
1e-09
917 (45)
915 (44)
911 (43)
911 (44)
760 (15)
1458 (6)
0.001
914 (44)
916 (45)
909 (43)
910 (44)
758 (14)
1455 (6)
0.01
921 (44)
917 (42)
915 (43)
916 (44)
765 (16)
1456 (6)
0.1
931 (44)
927 (44)
918 (43)
899 (43)
754 (16)
1454 (6)
1
930 (41)
933 (40)
930 (42)
909 (39)
757 (15)
1453 (6)
Appendix
Table 4: Pseudo-regrets of Plain LinUCB averaged over 100 runs for each pair (λ,C) . The table reports averages (with ±2 standard errors in parentheses).
LinUCB-Belief-Complex
ℓ
λ / C
5e-6
5e-5
5e-4
5e-3
5e-2
5e-1
ℓ=1
1e-09
394 (29)
259 (13)
521 (7)
2180 (8)
4000 (6)
4614 (6)
0.001
416 (28)
258 (11)
521 (7)
2181 (8)
3999 (6)
4614 (5)
0.01
432 (34)
259 (11)
520 (8)
2182 (8)
4001 (6)
4615 (6)
0.1
417 (30)
262 (13)
519 (7)
2179 (8)
4000 (6)
4615 (6)
1
490 (31)
262 (12)
514 (7)
2174 (8)
3999 (6)
4616 (5)
Appendix
Table 5: Pseudo-regrets of LinUCB-Belief-Complex averaged over 100 runs for each triplet (ℓ,λ,C) . The table reports averages (with ±2 standard errors in parentheses).
LinUCB-Belief-Simplified
ℓ
λ / C
5e-6
5e-5
5e-4
5e-3
5e-2
5e-1
ℓ=1
1e-09
451 (30)
462 (32)
430 (30)
279 (14)
318 (7)
1508 (9)
0.001
446 (29)
455 (29)
424 (28)
271 (14)
318 (8)
1505 (9)
0.01
455 (30)
436 (29)
435 (31)
284 (13)
317 (8)
1504 (9)
0.1
513 (34)
509 (37)
441 (30)
276 (14)
316 (8)
1504 (8)
1
571 (35)
568 (32)
521 (29)
288 (15)
311 (8)
1499 (9)
Appendix
Table 6: Pseudo-regrets of LinUCB-Belief-Simplified averaged over 100 runs for each triplet (ℓ,λ,C) . The table reports averages (with ±2 standard errors in parentheses).