Modified Meta-Thompson Sampling for Linear Bandits and Its Bayes Regret Analysis
This work provides an incremental improvement for meta-learning in bandit algorithms, specifically targeting researchers in reinforcement learning and online decision-making.
The paper tackles the problem of extending Meta-Thompson Sampling to linear contextual bandits, deriving a theoretical Bayes regret bound of O((m+log(m))√(n log(n))) and demonstrating adaptation to unseen instances in experiments.
Meta-learning is characterized by its ability to learn how to learn, enabling the adaptation of learning strategies across different tasks. Recent research introduced the Meta-Thompson Sampling (Meta-TS), which meta-learns an unknown prior distribution sampled from a meta-prior by interacting with bandit instances drawn from it. However, its analysis was limited to Gaussian bandit. The contextual multi-armed bandit framework is an extension of the Gaussian Bandit, which challenges agent to utilize context vectors to predict the most valuable arms, optimally balancing exploration and exploitation to minimize regret over time. This paper introduces Meta-TSLB algorithm, a modified Meta-TS for linear contextual bandits. We theoretically analyze Meta-TSLB and derive an $ O((m+\log(m))\sqrt{n\log(n)})$ bound on its Bayes regret, in which $m$ represents the number of bandit instances, and $n$ the number of rounds of Thompson Sampling. Additionally, our work complements the analysis of Meta-TS for linear contextual bandits. The performance of Meta-TSLB is evaluated experimentally under different settings, and we experimente and analyze the generalization capability of Meta-TSLB, showcasing its potential to adapt to unseen instances.