Contexts can be Cheap: Solving Stochastic Contextual Bandits with Linear Bandit Algorithms.

In this paper, we address the stochastic contextual linear bandit problem, where a decision maker is provided a context (a random set of actions drawn from a distribution). The expected reward of each action is specified by the inner product of the action and an unknown parameter. The goal is to design an algorithm that learns to play as close as possible to the unknown optimal policy after a number of action plays. This problem is considered more challenging than the linear bandit problem, which can be viewed as a contextual bandit problem with a \emph{fixed} context. Surprisingly, in this paper, we show that the stochastic contextual problem can be solved as if it is a linear bandit problem. In particular, we establish a novel reduction framework that converts every stochastic contextual linear bandit instance to a linear bandit instance, when the context distribution is known. When the context distribution is unknown, we establish an algorithm that reduces the stochastic contextual instance to a sequence of linear bandit instances with small misspecifications and achieves nearly the same worst-case regret bound as the algorithm that solves the misspecified linear bandit instances. As a consequence, our results imply a $O(d\sqrt{T\log T})$ high-probability regret bound for contextual linear bandits, making progress in resolving an open problem in (Li et al., 2019), (Li et al., 2021). Our reduction framework opens up a new way to approach stochastic contextual linear bandit problems, and enables improved regret bounds in a number of instances including the batch setting, contextual bandits with misspecifications, contextual bandits with sparse unknown parameters, and contextual bandits with adversarial corruption.