EE-Net: Exploitation-Exploration Neural Networks in Contextual Bandits

In this paper, we propose a novel neural-based exploration strategy in contextual bandits, EE-Net, quite different from the standard UCB-based and TS-based approaches. Contextual multi-armed bandits have been studied for decades with various applications. To solve the exploitation-exploration tradeoff in bandits, there are three main techniques: epsilon-greedy, Thompson Sampling (TS), and Upper Confidence Bound (UCB). In recent literature, linear contextual bandits have adopted ridge regression to estimate the reward function and combine it with TS or UCB strategies for exploration. However, this line of works explicitly assumes the reward is based on a linear function of arm vectors, which may not be true in real-world datasets. To overcome this challenge, a series of neural-based bandit algorithms have been proposed, where a neural network is assigned to learn the underlying reward function and TS or UCB are adapted for exploration. In this paper, we propose "EE-Net", a neural-based bandit approach with a novel exploration strategy. In addition to utilizing a neural network (Exploitation network) to learn the reward function, EE-Net adopts another neural network (Exploration network) to adaptively learn potential gains compared to currently estimated reward for making explorations. Then, a decision-maker is constructed to combine the outputs from the Exploitation and Exploration networks. We prove that EE-Net can achieve $\mathcal{O}(\sqrt{T\log T})$ regret, which is tighter than existing state-of-the-art neural bandit algorithms ($\mathcal{O}(\sqrt{T}\log T)$ for both UCB-based and TS-based). Through extensive experiments on four real-world datasets, we show that EE-Net outperforms existing linear and neural bandit approaches.