Energy Regularized RNNS for solving non-stationary Bandit problems

We consider a Multi-Armed Bandit problem in which the re- wards are non-stationary and are dependent on past actions and potentially on past contexts. At the heart of our method, we employ a recurrent neural network, which models these sequences. In order to balance between exploration and exploitation, we present an energy minimization term that pre- vents the neural network from becoming too confident in support of a certain action. This term provably limits the gap between the maximal and minimal probabilities assigned by the network. In a diverse set of experiments, we demonstrate that our method is at least as effective as methods suggested to solve the sub-problem of Rotting Bandits, and can solve intuitive extensions of various benchmark problems. We share our implementation at https://github.com/rotmanmi/Energy-Regularized-RNN.