High-dimensional Nonparametric Contextual Bandit Problem

Shogo Iwazaki; Junpei Komiyama; Masaaki Imaizumi

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arXiv · 2505.14102

High-dimensional Nonparametric Contextual Bandit Problem

Shogo Iwazaki·Junpei Komiyama·Masaaki Imaizumi

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Abstract

We consider the kernelized contextual bandit problem with a large feature space. This problem involves $K$ arms, and the goal of the forecaster is to maximize the cumulative rewards through learning the relationship between the contexts and the rewards. It serves as a general framework for various decision-making scenarios, such as personalized online advertising and recommendation systems. Kernelized contextual bandits generalize the linear contextual bandit problem and offers a greater modeling flexibility. Existing methods, when applied to Gaussian kernels, yield a trivial bound of $O(T)$ when we consider $\Omega(\log T)$ feature dimensions. To address this, we introduce stochastic assumptions on the context distribution and show that no-regret learning is achievable even when the number of dimensions grows up to the number of samples. Furthermore, we analyze lenient regret, which allows a per-round regret of at most $\Delta > 0$. We derive the rate of lenient regret in terms of $\Delta$.

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Shogo Iwazaki, Junpei Komiyama, Masaaki Imaizumi. 2025-05-20. High-dimensional Nonparametric Contextual Bandit Problem. https://arxiv.org/abs/2505.14102

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