Adaptive Algorithm for Multi-Armed Bandit Problem with High-Dimensional Covariates
具有高维协变量的多臂老虎机自适应算法
This article studies an important sequential decision making problem known as the multi-armed stochastic bandit problem with covariates. Under a linear bandit framework with high-dimensional covariates, we propose a general multi-stage arm allocation algorithm that integrates both arm elimination and randomized assignment strategies. By employing a class of high-dimensional regression methods for coefficient estimation, the proposed algorithm is shown to have near optimal…