arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2402.00907cs.LGstat.ME
收藏

AlphaRank:一种用于排序与选择问题的人工智能方法

AlphaRank: An Artificial Intelligence Approach for Ranking and Selection Problems

Wuhan Institute of Artificial Intelligence(武汉人工智能研究院);Peking University(北京大学);Xiangjiang Laboratory(湘江实验室);Fudan University(复旦大学)

Ruihan Zhou, L. Jeff Hong, Yijie Peng

AI总结:

针对固定预算排序与选择问题,研究提出AlphaRank方法,结合蒙特卡洛rollout策略、深度强化学习预训练及并行分治递归框架,实现了优于经典基础策略的性能。

摘要:

我们提出了AlphaRank,这是一种用于解决固定预算排序与选择(R&S)问题的人工智能方法。我们将序贯采样决策建模为马尔可夫决策过程,并提出了一种基于蒙特卡洛模拟的rollout策略,该策略以经典R&S过程作为基础策略,用于高效学习随机动态规划的值函数。我们通过深度强化学习基于给定先验离线预训练神经网络模型,来加速在线样本分配。我们还针对大规模问题提出了一种可并行计算框架,有效结合“分治”与“递归”以提升可扩展性和效率。数值实验表明,AlphaRank的性能较基础策略有显著提升,这可归因于AlphaRank在均值、方差和诱导相关性之间权衡的优越能力,而这一点被许多现有策略所忽略。

英文摘要:

We introduce AlphaRank, an artificial intelligence approach to address the fixed-budget ranking and selection (R&S) problems. We formulate the sequential sampling decision as a Markov decision process and propose a Monte Carlo simulation-based rollout policy that utilizes classic R&S procedures as base policies for efficiently learning the value function of stochastic dynamic programming. We accelerate online sample-allocation by using deep reinforcement learning to pre-train a neural network model offline based on a given prior. We also propose a parallelizable computing framework for large-scale problems, effectively combining "divide and conquer" and "recursion" for enhanced scalability and efficiency. Numerical experiments demonstrate that the performance of AlphaRank is significantly improved over the base policies, which could be attributed to AlphaRank's superior capability on the trade-off among mean, variance, and induced correlation overlooked by many existing policies.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑