We provide a unified algorithmic framework for ensemble sampling in nonlinear contextual bandits and develop corresponding regret bounds for two most common nonlinear contextual bandit settings: Generalized Linear Model Ensemble Sampling (GLM-ES) for generalized linear contextual bandits and Neural Ensemble Sampling (Neural-ES) for neural contextual bandits. Both methods maintain multiple estimators for the reward model parameters via maximum likelihood estimation on randomly perturbed data. We prove high-probability frequentist regret bounds of $\widetilde{\mathcal{O}}(d^{3/2} \sqrt{T} + d^{4})$ for GLM-ES and $\widetilde{\mathcal{O}}(\widetilde{d}^{3/2} \sqrt{T})$ for Neural-ES, where $d$ is the dimension of feature vectors, $\widetilde{d}$ is the effective dimension of a neural tangent kernel (NTK) matrix and $T$ is the number of rounds. The regret bound of GLM-ES matches the state-of-the-art result of randomized exploration algorithms in generalized linear bandit setting. In the theoretical analysis, we introduce techniques that address challenges specific to nonlinear models. Practically, we remove fixed-time horizon assumption by developing anytime versions of our algorithms, suitable when $T$ is unknown. Finally, we empirically evaluate GLM-ES, Neural-ES and their anytime variants, demonstrating strong performance. Overall, our results establish ensemble sampling as a provable and practical randomized exploration approach for nonlinear contextual bandits.

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