Contextual Bandit with Missing Rewards

• URL: http://arxiv.org/abs/2007.06368v2
• Date: Sun, 19 Jul 2020 00:16:49 GMT
• Title: Contextual Bandit with Missing Rewards
• Authors: Djallel Bouneffouf, Sohini Upadhyay and Yasaman Khazaeni
• Abstract summary: We consider a novel variant of the contextual bandit problem where the reward associated with each context-based decision may not always be observed. This new problem is motivated by certain online settings including clinical trial and ad recommendation applications. We propose to combine the standard contextual bandit approach with an unsupervised learning mechanism such as clustering.
• Score: 27.066965426355257
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We consider a novel variant of the contextual bandit problem (i.e., the multi-armed bandit with side-information, or context, available to a decision-maker) where the reward associated with each context-based decision may not always be observed("missing rewards"). This new problem is motivated by certain online settings including clinical trial and ad recommendation applications. In order to address the missing rewards setting, we propose to combine the standard contextual bandit approach with an unsupervised learning mechanism such as clustering. Unlike standard contextual bandit methods, by leveraging clustering to estimate missing reward, we are able to learn from each incoming event, even those with missing rewards. Promising empirical results are obtained on several real-life datasets.

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