CAAL: Contextual Bandits based Online Hand-Craft Active Learning Strategy Selection

A key goal in stochastic contextual linear bandits is to efficiently learn a near-optimal policy. Prior algorithms for this problem learn a policy by strategically sampling actions but naively (passively) sampling contexts from the underlying context distribution. However, in many practical scenarios -- including online content recommendation, survey research, and clinical trials -- practitioners can actively sample or recruit contexts based on prior knowledge of the context distribution. Despite this potential for active learning, the role of strategic context sampling in stochastic contextual linear bandits is underexplored. We propose an algorithm that learns a near-optimal policy by strategically sampling rewards of context-action pairs. We prove instance-dependent theoretical guarantees demonstrating that our active context sampling strategy can improve over the minimax rate by up to a factor of $\sqrt{d}$, where $d$ is the linear dimension. We show empirically that our algorithm reduces the number of samples needed to learn a near-optimal policy, in tasks such as warfarin dose prediction and joke recommendation.

We study the contextual multi-armed bandit problem with a finite context space (a.k.a. subpopulations), where the learner recommends a best action for each context and is evaluated by context-weighted simple regret. Our guarantees are worst-case over the reward distributions, while remaining instance-dependent with respect to the context distribution vector $p$. Akin to experimental design problems where the population of interest is fixed but the sampled subpopulation can be controlled, we allow the learner to actively choose which context to sample from. For a known $p$, we characterize tight regret rates: passive sampling where contexts are randomly revealed achieves regret of order $\sqrt{n/T \, \lVert p \rVert_{1/2}}$, whereas active sampling with allocation $q_j \propto p_j^{2/3}$ achieves the tight rate $\sqrt{n/T} \, \lVert p \rVert_{2/3}$. The resulting improvement can be as large as $Θ(k^{1/4})$, where $k$ is the number of contexts. We further extend the analysis to budgeted active sampling, characterize the corresponding tight rate, and identify when a limited active budget suffices to recover the fully active rate. When $p$ is unknown, we propose the Explore-Explore-Then-Commit (EETC) algorithm, which optimally balances estimating the context distribution and the time to switch to active allocation, such that for large horizons, it matches the known-$p$ active rate up to constants. Experiments on synthetic and real-world data support our theoretical findings.

Cold-Start Active Learning (CSAL) aims to select a valuable subset from an unlabeled pool without any prior knowledge or human assistance. Existing methods take diverse routes based on typicality, coverage, or diversity. Each rests on its own inductive bias and therefore performs well on some tasks yet poorly on others. We argue that the real challenge is not to design yet another selection heuristic, but to make CSAL adapt automatically to the data and task at hand. To this end, we revisit CSAL through the lens of optimal transport. First, we propose a generalized transport selection framework that reveals the shared allocation structure of existing methods and exactly subsumes representative formulations. Second, we introduce a theoretical analysis that characterizes the trade-off controlled by entropic regularization and establishes a task-agnostic minimax bound for cold-start selection. These results provide a principled foundation for adapting the regularization strength to the unlabeled data. Third, we derive a data-adaptive regularization rule and present a novel Sinkhorn-based CSAL algorithm, termed $ε$-Adaptive Selection ($ε$-AS). Extensive experiments on six public datasets and multiple annotation budgets show that $ε$-AS consistently achieves state-of-the-art performance. On ImageNet-1k, it improves the average accuracy over ActiveFT by 1.29% while reducing selection time by 56.2%. Code will be released at https://github.com/Z-yiwei/OT-CSAL