Efficient contextual partial monitoring with general function approximation

Kapilan Balagopalan, Hao Qin, Kwang-Sung Jun, Chicheng Zhang

We study finite stochastic partial monitoring (PM) games with side information, a paradigm of sequential learning with partial feedback. On each round $t \in [T]$, both player and environment observe a context and player chooses an action and environment simultaneously chooses an outcome. The player neither observes the outcome nor the loss; instead, they only observe a feedback symbol which is partially informative about the outcome. We utilize the Estimation-to-Decisions (E2D) meta-algorithm of Foster et al.(2021) to design E2D.PMSide, a computationally efficient framework for contextual partial monitoring, which uses an online regression oracle to efficiently estimate the outcome distributions based on historical (context, action, feedback symbol) tuples. Since the exploration rule given by the original E2D algorithm is intractable to compute, we propose two computationally efficient exploration rules that achieve optimal regret orders in $T$: in the globally observable setting, our exploration rule is based on $ε$-greedy, while in the locally observable setting, our exploration rule uses inverse gap weighting (Foster & Rakhlin, 2020), which was previously only known to be…