A Direct Approach for Handling Contextual Bandits with Latent State Dynamics

Computer Science > Machine Learning [Submitted on 9 Apr 2026 (v1), last revised 1 Jun 2026 (this version, v2)] Title:A Direct Approach for Handling Contextual Bandits with Latent State Dynamics View PDF HTML (experimental)Abstract:We consider a linear contextual bandit model where contexts and rewards are governed by a finite hidden Markov chain. We first revisit the simplified model by Nelson et al. (2022), in which rewards are linear functions of the posterior probabilities over the hidden states given the observed contexts (called beliefs), rather than functions of the hidden states themselves. This simplified model may be handled through a direct reduction to standard linear contextual bandits. We extend the theoretical analysis of this reduction to take into account the estimation of the parameters of the hidden Markov model [HMM] in the regret bound and to provide high-probability bounds not depending anymore on the reward functions and only depending on the model through the estimation of the HMM parameters. Second, and most importantly, we instead study the more natural and more complex model incorporating direct dependencies in the hidden states (on top of dependencies on the observed contexts, as is natural for contextual bandits). Under a classic HMM forgetting condition, the main algorithmic tool introduced to cope with the various statistical dependencies that the reward structure introduces is to only periodically update reward-model parameters. Submission history From: Gilles Stoltz [view email] [via CCSD proxy][v1] Thu, 9 Apr 2026 12:09:45 UTC (67 KB) [v2] Mon, 1 Jun 2026 12:08:21 UTC (6,437 KB) Current browse context: cs.LG References & Citations Loading... Bibliographic and Citation Tools Bibliographic Explorer (What is the Explorer?) Connected Papers (What is Connected Papers?) Litmaps (What is Litmaps?) scite Smart Citations (What are Smart Citations?) Code, Data and Media Associated with this Article alphaXiv (What is alphaXiv?) CatalyzeX Code Finder for Papers (What is CatalyzeX?) DagsHub (What is DagsHub?) Gotit.pub (What is GotitPub?) Hugging Face (What is Huggingface?) ScienceCast (What is ScienceCast?) Demos Recommenders and Search Tools Influence Flower (What are Influence Flowers?) CORE Recommender (What is CORE?) IArxiv Recommender (What is IArxiv?) arXivLabs: experimental projects with community collaborators arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website. Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them. Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.