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Further, we define the notion of agent safety, a vital consideration for physical systems, in the context of our problem. Under certain assumptions, we provide guarantees on the safety of an agent exploring with our algorithm that exploits local side information. We illustrate agent safety and the improvement in learning speed using numerical experiments in the setting of a Mars rover, with data from onboard sensors acting as the local side information.CodaLab is an open-source web-based platform for collaborative computational research.