Optimal Multitask Linear Regression and Contextual Bandits under Sparse Heterogeneity
稀疏异质性下的最优多任务线性回归与情境老虎机
Large and complex datasets are often collected from several, possibly heterogeneous sources. Multitask learning methods improve efficiency by leveraging commonalities across datasets while accounting for possible differences among them. Here, we study multitask linear regression and contextual bandits under sparse heterogeneity, where the source/task-associated parameters are equal to a global parameter plus a sparse task-specific term. We propose a novel two-stage estimator…