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Random Effect Bandits

This paper studies regret minimization in a multi-armed bandit. It is well known that side information, such as the prior distribution of arm means in Thompson sampling, can improve the statistical efficiency of the bandit algorithm. While the prior is a blessing when correctly specified, it is a curse when misspecified. To address this issue, we introduce the assumption of a random-effect model to bandits. In this model, the mean arm rewards are drawn independently from an unknown distribution, which we estimate. We derive a random-effect estimator of the arm means, analyze its uncertainty, and design a UCB algorithm ReUCB that uses it. We analyze ReUCB and derive an upper bound on its $n$-round Bayes regret, which improves upon not using the random-effect structure. Our experiments show that ReUCB can outperform Thompson sampling, without knowing the prior distribution of arm means.