Causal Contextual Bandits with Adaptive Context

TL;DR

This paper introduces a new approach to causal contextual bandits where the context depends on an initial intervention, providing regret guarantees and leveraging convex optimization for exploration.

Contribution

It extends causal bandit models to include adaptive initial interventions and offers instance-dependent regret bounds with tightness proofs.

Findings

Achieved simple regret minimization guarantees.

Developed a convex optimization-based exploration method.

Validated theoretical results with experiments.

Abstract

We study a variant of causal contextual bandits where the context is chosen based on an initial intervention chosen by the learner. At the beginning of each round, the learner selects an initial action, depending on which a stochastic context is revealed by the environment. Following this, the learner then selects a final action and receives a reward. Given $T$ rounds of interactions with the environment, the objective of the learner is to learn a policy (of selecting the initial and the final action) with maximum expected reward. In this paper we study the specific situation where every action corresponds to intervening on a node in some known causal graph. We extend prior work from the deterministic context setting to obtain simple regret minimization guarantees. This is achieved through an instance-dependent causal parameter, $\lambda$, which characterizes our upper bound. Furthermore, we prove that our simple regret is essentially tight for a large class of instances. A key feature of our work is that we use convex optimization to address the bandit exploration problem. We also conduct experiments to validate our theoretical results, and release our code at our project GitHub repository: https://github.com/adaptiveContextualCausalBandits/aCCB.