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High-dimensional Linear Bandits with Knapsacks

Ma, Wanteng et al.
arXiv (All) · Papers
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data-structures-and-algorithmsmachine-learning
We investigate the contextual bandits with knapsack (CBwK) problem in a high-dimensional linear setting, where the feature dimension can be very large. Our goal is to harness sparsity to obtain sharper regret guarantees. To this end, we first develop an online variant of the hard thresholding algori
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