TY - JOUR AU - Dimakopoulou, Maria AU - Zhou, Zhengyuan AU - Athey, Susan AU - Imbens, Guido PY - 2019/07/17 Y2 - 2024/03/29 TI - Balanced Linear Contextual Bandits JF - Proceedings of the AAAI Conference on Artificial Intelligence JA - AAAI VL - 33 IS - 01 SE - AAAI Technical Track: Machine Learning DO - 10.1609/aaai.v33i01.33013445 UR - https://ojs.aaai.org/index.php/AAAI/article/view/4221 SP - 3445-3453 AB - <p>Contextual bandit algorithms are sensitive to the estimation method of the outcome model as well as the exploration method used, particularly in the presence of rich heterogeneity or complex outcome models, which can lead to difficult estimation problems along the path of learning. We develop algorithms for contextual bandits with linear payoffs that integrate balancing methods from the causal inference literature in their estimation to make it less prone to problems of estimation bias. We provide the first regret bound analyses for linear contextual bandits with balancing and show that our algorithms match the state of the art theoretical guarantees. We demonstrate the strong practical advantage of balanced contextual bandits on a large number of supervised learning datasets and on a synthetic example that simulates model misspecification and prejudice in the initial training data.</p> ER -