A Contextual Bandit Approach for Stream-Based Active Learning

Contextual bandit algorithms -- a class of multi-armed bandit algorithms that exploit the contextual information -- have been shown to be effective in solving sequential decision making problems under uncertainty. A common assumption adopted in the literature is that the realized (ground truth) reward by taking the selected action is observed by the learner at no cost, which, however, is not realistic in many practical scenarios. When observing the ground truth reward is costly, a key challenge for the learner is how to judiciously acquire the ground truth by assessing the benefits and costs in order to balance learning efficiency and learning cost. From the information theoretic perspective, a perhaps even more interesting question is how much efficiency might be lost due to this cost. In this paper, we design a novel contextual bandit-based learning algorithm and endow it with the active learning capability. The key feature of our algorithm is that in addition to sending a query to an annotator for the ground truth, prior information about the ground truth learned by the learner is sent together, thereby reducing the query cost. We prove that by carefully choosing the algorithm parameters, the learning regret of the proposed algorithm achieves the same order as that of conventional contextual bandit algorithms in cost-free scenarios, implying that, surprisingly, cost due to acquiring the ground truth does not increase the learning regret in the long-run. Our analysis shows that prior information about the ground truth plays a critical role in improving the system performance in scenarios where active learning is necessary.