Ensemble sampling for linear bandits: small ensembles suffice.

We provide the first useful, rigorous analysis of ensemble sampling for the stochastic linear bandit setting. In particular, we show that, under standard assumptions, for a $d$-dimensional stochastic linear bandit with an interaction horizon $T$, ensemble sampling with an ensemble of size $m$ on the order of $d \log T$ incurs regret bounded by order $(d \log T)^{5/2} \sqrt{T}$. Ours is the first result in any structured setting not to require the size of the ensemble to scale linearly with $T$ -- which defeats the purpose of ensemble sampling -- while obtaining near $\sqrt{T}$ order regret. Ours is also the first result that allows infinite action sets.