Multi-Agent Low-Dimensional Linear Bandits

We study a multi-agent stochastic linear bandit with side information, parameterized by an unknown vector θ^* ∈ ℝd. The side information consists of a finite collection of low-dimensional subspaces, one of which contains θ^*. In our setting, agents can collaborate to reduce regret by sending recommendations across a communication graph connecting them. We present a novel decentralized algorithm, where agents communicate subspace indices with each other and each agent plays a projected variant of LinUCB on the corresponding (low-dimensional) subspace. By distributing the search for the optimal subspace across users and learning of the unknown vector by each agent in the corresponding low-dimensional subspace, we show that the per-agent finite-time regret is much smaller than the case when agents do not communicate. We finally complement these results through simulations.