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This research advances the theoretical understanding of generalized linear bandits by correcting prior loose analyses and establishing optimal $\sqrt{T}$ regret rates even in non-stationary settings with memory effects. The proposed block-wise algorithm effectively handles nonlinear reward structures while maintaining performance independent of link function curvature, offering a robust framework for sequential decision-making under complex dependencies.
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Generalized Linear Bandits with Memory

arXiv2 min read

arXiv:2608.15848v1 Announce Type: cross Abstract: We study generalized linear bandits with memory, an endogenous non-stationary setting in which rewards depend on past actions through a finite memory matrix. Building on prior work for linear models (Clerici et al., 2024), we show that the previously known $\tilde{O}(T^{3/4})$ regret bound stems from a loose analysis, and we provide a sharpened analysis that recovers a $\tilde{O}(\sqrt{T})$ regret rate in the linear case. We then extend this improvement to generalized linear models and propose a block-wise algorithm based on shrunken confidence bounds. Our algorithm achieves a regret bound of $\tilde{O}\left(\sqrt{mT} + d\sqrt{T} + \sqrt{\kappa}\, d^{2} m^{1/4} T^{1/4} + \kappa d^{2} \right)$, where $d$ denotes the feature dimension, $m$ the memory length, and $\kappa$ a curvature parameter of the link function. This attains a $\sqrt{T}$-type rate despite nonlinear rewards and memory effects. To the best of our knowledge, this analysis provides a unified treatment of memory-induced non-stationarity and nonlinear link functions, while ensuring that the leading regret term is independent of the curvature of the link function. We conduct numerical experiments that are consistent with our theoretical findings.

Abstract:We study generalized linear bandits with memory, an endogenous non-stationary setting in which rewards depend on past actions through a finite memory matrix. Building on prior work for linear models (Clerici et al., 2024), we show that the previously known $\tilde{O}(T^{3/4})$ regret bound stems from a loose analysis, and we provide a sharpened analysis that recovers a $\tilde{O}(\sqrt{T})$ regret rate in the linear case. We then extend this improvement to generalized linear models and propose a block-wise algorithm based on shrunken confidence bounds. Our algorithm achieves a regret bound of $\tilde{O}\left(\sqrt{mT} + d\sqrt{T} + \sqrt{\kappa}\, d^{2} m^{1/4} T^{1/4} + \kappa d^{2} \right)$, where $d$ denotes the feature dimension, $m$ the memory length, and $\kappa$ a curvature parameter of the link function. This attains a $\sqrt{T}$-type rate despite nonlinear rewards and memory effects. To the best of our knowledge, this analysis provides a unified treatment of memory-induced non-stationarity and nonlinear link functions, while ensuring that the leading regret term is independent of the curvature of the link function. We conduct numerical experiments that are consistent with our theoretical findings.

Machine Learning (stat.ML); Machine Learning (cs.LG)

arXiv:2608.15848 [stat.ML]

(or arXiv:2608.15848v1 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2608.15848 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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Full text under the publisher's open licence · 275 words

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