This paper considers stochastic linear bandits with general constraints. The objective is to maximize the expected cumulative reward over horizon $T$ subject to a set of constraints in each round $\tau\leq T$. We propose a pessimistic-optimistic algorithm for this problem, which is efficient in two aspects. First, the algorithm yields $\tilde{\cal O}\left(\left(\frac{K^{1.5}}{\delta^2}+d\right)\sqrt{\tau}\right)$ (pseudo) regret in round $\tau\leq T,$ where $K$ is the number of constraints, $d$ is the dimension of the reward feature space, and $\delta$ is a Slater's constant; and zero constraint violation in any round $\tau>\tau',$ where $\tau'$ is independent of horizon $T.$ Second, the algorithm is computationally efficient. Our algorithm is based on the primal-dual approach in optimization, and includes two components. The primal component is similar to unconstrained stochastic linear bandits (our algorithm uses the linear upper confidence bound algorithm (LinUCB)). The computational complexity of the dual component depends on the number of constraints, and is independent of sizes of the contextual space, the action space, and even the feature space. So the overall computational complexity of our algorithm is similar to the linear UCB for unconstrained stochastic linear bandits.

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