Influential Bandits: Pulling an Arm May Change the Environment

While classical formulations of multi-armed bandit problems assume that each arm's reward is independent and stationary, real-world applications often involve non-stationary environments and interdependencies between arms. In particular, selecting one arm may influence the future rewards of other arms, a scenario not adequately captured by existing models such as rotting bandits or restless bandits. To address this limitation, we propose the influential bandit problem, which models inter-arm interactions through an unknown, symmetric, positive semi-definite interaction matrix that governs the dynamics of arm losses. We formally define this problem and establish two regret lower bounds, including a superlinear Omega(T2 / log2 T) bound for the standard LCB algorithm (loss minimization version of UCB) and an algorithm-independent Omega(T) bound, which highlight the inherent difficulty of the setting. We then introduce a new algorithm based on a lower confidence bound (LCB) estimator tailored to the structure of the loss dynamics. Under mild assumptions, our algorithm achieves a regret of O(KT log T), which is nearly optimal in terms of its dependence on the time horizon. The algorithm is simple to implement and computationally efficient. Empirical evaluations on both synthetic and real-world datasets demonstrate the presence of inter-arm influence and confirm the superior performance of our method compared to conventional bandit algorithms.