  In this paper, we aim to build a novel bandits algorithm that is capable of
fully harnessing the power of multi-dimensional data and the inherent
non-linearity of reward functions to provide high-usable and accountable
decision-making services. To this end, we introduce a generalized low-rank
tensor contextual bandits model in which an action is formed from three feature
vectors, and thus can be represented by a tensor. In this formulation, the
reward is determined through a generalized linear function applied to the inner
product of the action's feature tensor and a fixed but unknown parameter tensor
with a low tubal rank. To effectively achieve the trade-off between exploration
and exploitation, we introduce a novel algorithm called "Generalized Low-Rank
Tensor Exploration Subspace then Refine" (G-LowTESTR). This algorithm first
collects raw data to explore the intrinsic low-rank tensor subspace information
embedded in the decision-making scenario, and then converts the original
problem into an almost lower-dimensional generalized linear contextual bandits
problem. Rigorous theoretical analysis shows that the regret bound of
G-LowTESTR is superior to those in vectorization and matricization cases. We
conduct a series of simulations and real data experiments to further highlight
the effectiveness of G-LowTESTR, leveraging its ability to capitalize on the
low-rank tensor structure for enhanced learning.
