Differentiable Linear Bandit Algorithm

Upper Confidence Bound (UCB) is arguably the most commonly used method for linear multi-arm bandit problems. While conceptually and computationally simple, this method highly relies on the confidence bounds, failing to strike the optimal exploration-exploitation if these bounds are not properly set. In the literature, confidence bounds are typically derived from concentration inequalities based on assumptions on the reward distribution, e.g., sub-Gaussianity. The validity of these assumptions however is unknown in practice. In this work, we aim at learning the confidence bound in a data-driven fashion, making it adaptive to the actual problem structure. Specifically, noting that existing UCB-typed algorithms are not differentiable with respect to confidence bound, we first propose a novel differentiable linear bandit algorithm. Then, we introduce a gradient estimator, which allows the confidence bound to be learned via gradient ascent. Theoretically, we show that the proposed algorithm achieves a tildeO(hatβ√dT) upper bound of T-round regret, where d is the dimension of arm features and hatβ is the learned size of confidence bound. Empirical results show that hatβ is significantly smaller than its theoretical upper bound and proposed algorithms outperforms baseline ones on both simulated and real-world datasets.