  We consider a multi-armed bandit problem where payoffs are a linear function
of an observed stochastic contextual variable. In the scenario where there
exists a gap between optimal and suboptimal rewards, several algorithms have
been proposed that achieve $O(\log T)$ regret after $T$ time steps. However,
proposed methods either have a computation complexity per iteration that scales
linearly with $T$ or achieve regrets that grow linearly with the number of
contexts $|\myset{X}|$. We propose an $\epsilon$-greedy type of algorithm that
solves both limitations. In particular, when contexts are variables in
$\reals^d$, we prove that our algorithm has a constant computation complexity
per iteration of $O(poly(d))$ and can achieve a regret of $O(poly(d) \log T)$
even when $|\myset{X}| = \Omega (2^d) $. In addition, unlike previous
algorithms, its space complexity scales like $O(Kd^2)$ and does not grow with
$T$.

Data Structures and Algorithms;Computer Science and Game Theory