Efficient Contextual Bandits with Continuous Actions

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Jun 10, 2020
Maryam Majzoubi, Chicheng Zhang, Rajan Chari, Akshay Krishnamurthy, John Langford, Aleksandrs Slivkins
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We create a computationally tractable algorithm for contextual bandits with continuous actions having unknown structure. Our reduction-style algorithm composes with most supervised learning representations. We prove that it works in a general sense and verify the new functionality with large-scale experiments.

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