Explore Once, Evaluate Many: Multiple Policy Evaluation for Stochastic Linear Bandits

Abstract

We study how to evaluate $K$ target policies simultaneously in stochastic contextual bandits with linear reward structure. Given a known $d$-dimensional feature map and reward-free access to policy queries, we propose PRISMA (Policy evaluation through Regularized Information Sharing and Mixture Allocation), an algorithm that estimates every target policy's value to accuracy $\varepsilon$ with probability at least $1-δ$. The algorithm uses $\widetilde{\mathcal{O}}\!\left( \frac{(L^2S^2+β^2)(1\veeρ^\star)}{\varepsilon^2} \cdot \log(K) \right)$ context draws and reward observations, where $ρ^\star\le d$ is an instance-dependent measure of the difficulty of designing a shared sampling distribution. Here, $L$, $S$, and $β$ bound the feature norm, reward parameter norm, and reward noise, respectively, and the suppressed factors are logarithmic in $K$, $d$, and $1/δ$. Our method combines reward-free planning, a regularized sampling design, and a single ridge regression estimator shared across all target policies. An adaptive doubling procedure selects the regularization scale without knowledge of $ρ^\star$. The guarantees require no numerical lower bound on second-moment eigenvalues and have no explicit dependence on the cardinalities of the context and action spaces. Policy-query costs are accounted for separately, with $K$ queries per shared planning context.