We propose a novel formulation of group fairness in the contextual multi-armed bandit (CMAB) setting. In the CMAB setting a sequential decision maker must at each time step choose an arm to pull from a finite set of arms after observing some context for each of the potential arm pulls. In our model arms are partitioned into two or more sensitive groups based on some protected feature (e.g., age, race, or socio-economic status). Despite the fact that there may be differences in expected payout between the groups, we may wish to ensure some form of fairness between picking arms from the various groups. In this work we explore two definitions of fairness: equal group probability, wherein the probability of pulling an arm from any of the protected groups is the same; and proportional parity, wherein the probability of choosing an arm from a particular group is proportional to the size of that group. We provide a novel algorithm that can accommodate these notions of fairness for an arbitrary number of groups, and provide bounds on the regret for our algorithm. We then validate our algorithm using synthetic data as well as two real-world datasets for intervention settings wherein we want to allocate resources fairly across protected groups.
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