Thompson Sampling for Stochastic Bandits with Noisy Contexts: An Information-Theoretic Regret Analysis

We study stochastic linear contextual bandits (CB) where the agent observes a noisy version of the true context through a noise channel with unknown channel parameters. Our objective is to design an action policy that can "approximate" that of a Bayesian oracle that has access to the reward model and the noise channel parameter. We introduce a modified Thompson sampling algorithm and analyze its Bayesian cumulative regret with respect to the oracle action policy via information-theoretic tools. For Gaussian bandits with Gaussian context noise, our information-theoretic analysis shows that under certain conditions on the prior variance, the Bayesian cumulative regret scales as O(mT), where m is the dimension of the feature vector and T is the time horizon. We also consider the problem setting where the agent observes the true context with some delay after receiving the reward, and show that delayed true contexts lead to lower regret. Finally, we empirically demonstrate the performance of the proposed algorithms against baselines.