Self-Concordant Analysis of Generalized Linear Bandits with Forgetting


Contextual sequential decision problems with categorical or numerical observations are ubiquitous and Generalized Linear Bandits (GLB) offer a solid theoretical framework to address them. In contrast to the case of linear bandits, existing algorithms for GLB have two drawbacks undermining their applicability. First, they rely on excessively pessimistic concentration bounds due to the non-linear nature of the model. Second, they require either non-convex projection steps or burn-in phases to enforce boundedness of the estimators. Both of these issues are worsened when considering non-stationary models, in which the GLB parameter may vary with time. In this work, we focus on self-concordant GLB (which include logistic and Poisson regression) with forgetting achieved either by the use of a sliding window or exponential weights. We propose a novel confidence-based algorithm for the maximum-likelihood estimator with forgetting and analyze its performance in abruptly changing environments. These results as well as the accompanying numerical simulations highlight the potential of the proposed approach to address non-stationarity in GLB.

Proceedings of The 24th International Conference on Artificial Intelligence and Statistics (AISTATS)
Louis Faury
Louis Faury
Machine Learning Researcher

I am a researcher at Criteo, focusing on bandit algorithms and reinforcement learning.