Geometry-Aware Offline-to-Online Learning in Linear Contextual Bandits

We study offline-to-online learning in linear contextual bandits with biased offline regression data: the offline parameter need not match the online one, so history should not be treated as a single warm start. We model directional transfer with a shift certificate $(M_{\mathrm{shift}},ρ)$ and offline ridge estimation, yielding a geometry-aware confidence region for the online parameter rather than an isotropic radius.

We propose Ellipsoidal-MINUCB, which combines a standard online branch with an offline-informed pooled branch and uses offline information only when it tightens uncertainty. With high probability, regret is bounded by the minimum of a standard SupLinUCB-style fallback and a pooled term that separates statistical width from a certificate-weighted shift penalty.

Under a simple alignment condition, the pooled term further simplifies to a rate governed by an effective dimension induced by the offline geometry. We also show that a purely Euclidean (scalar) shift bound, by itself, does not determine which feature directions are transferable.

Beyond this fixed certificate, we show how to learn a data-driven certificate from data at finitely many refresh times and establish a high-probability regret bound for Ellipsoidal-MINUCB with epoch-wise learned certificates. Experiments match the main prediction: gains are strongest at intermediate horizons when offline coverage and transferability align, while the method otherwise tracks the safe online baseline.