Double Doubly Robust Thompson Sampling for Generalized Linear Contextual Bandits

Wonyoung Kim, Kyungbok Lee, Myunghee Cho Paik

We propose a novel contextual bandit algorithm for generalized linear rewards with an $\tilde{O}(\sqrt{{\kappa }^{-1}\varphi T})$ regret over $T$ rounds where $\varphi$ is the minimum eigenvalue of th…