Weighted Sequential Bayesian Inference for Non-Stationary Linear Contextual Bandits
arXiv:2307.03587v3 Announce Type: replace-cross Abstract: We study non-stationary linear contextual bandits through the lens of sequential Bayesian inference. Whereas existing algorithms typically rely on the Weighted Regularized Least-Squares (WRLS) objective, we study Weighted Sequential Bayesian (WSB), which maintains a posterior…
