The multi objective bandit setting has traditionally been regarded as more complex than the single objective case, as multiple objectives must be optimized simultaneously. In contrast to this prevailing view, we demonstrate that when multiple good arms exist for multiple objectives, they can induce a surprising benefit, implicit exploration. Under this condition, we show that simple algorithms that greedily select actions in most rounds can nonetheless achieve strong performance, both theoretically and empirically. To our knowledge, this is the first study to introduce implicit exploration in both multi objective and parametric bandit settings without any distributional assumptions on the contexts. We further introduce a framework for effective Pareto fairness, which provides a principled approach to rigorously analyzing fairness of multi objective bandit algorithms.
We consider un-discounted reinforcement learning (RL) in Markov decision processes (MDPs) under drifting non-stationarity, i.e., both the reward and state transition distributions are allowed to evolve over time, as long as their respective total variations, quantified by suitable metrics, do not exceed certain variation budgets. We first develop the Sliding Window Upper-Confidence bound for Reinforcement Learning with Confidence Widening (SWUCRL2-CW) algorithm, and establish its dynamic regret bound when the variation budgets are known. In addition, we propose the Bandit-over-Reinforcement Le…
We consider a multi-armed bandit framework where the rewards obtained by pulling different arms are correlated. We develop a unified approach to leverage these reward correlations and present fundamental generalizations of classic bandit algorithms to the correlated setting. We present a unified proof technique to analyze the proposed algorithms. Rigorous analysis of C-UCB (the correlated bandit version of Upper-confidence-bound) reveals that the algorithm ends up pulling certain sub-optimal arms, termed as non-competitive, only O(1) times, as opposed to the O(log T) pulls required by classic …
Paderborn University（帕德博恩大学）；University of Munich (LMU)（慕尼黑大学）；Munich Center for Machine Learning（慕尼黑机器学习中心）
We consider the combinatorial bandits problem with semi-bandit feedback under finite sampling budget constraints, in which the learner can carry out its action only for a limited number of times specified by an overall budget. The action is to choose a set of arms, whereupon feedback for each arm in the chosen set is received. Unlike existing works, we study this problem in a non-stochastic setting with subset-dependent feedback, i.e., the semi-bandit feedback received could be generated by an oblivious adversary and also might depend on the chosen set of arms. In addition, we consider a gener…
Mortal bandits have proven to be extremely useful for providing news article recommendations, running automated online advertising campaigns, and for other applications where the set of available options changes over time. Previous work on this problem showed how to regulate exploration of new arms when they have recently appeared, but they do not adapt when the arms are about to disappear. Since in most applications we can determine either exactly or approximately when arms will disappear, we can leverage this information to improve performance: we should not be exploring arms that are about …
We address the M-best-arm identification problem in multi-armed bandits. A player has a limited budget to explore K arms (M<K), and once pulled, each arm yields a reward drawn (independently) from a fixed, unknown distribution. The goal is to find the top M arms in the sense of expected reward. We develop an algorithm which proceeds in rounds to deactivate arms iteratively. At each round, the budget is divided by a nonlinear function of remaining arms, and the arms are pulled correspondingly. Based on a decision rule, the deactivated arm at each round may be accepted or rejected. The algorithm…
Carnegie Mellon University（卡内基梅隆大学）；University of Wisconsin-Madison（威斯康星大学麦迪逊分校）
We consider a finite-armed structured bandit problem in which mean rewards of different arms are known functions of a common hidden parameter $θ^*$. Since we do not place any restrictions of these functions, the problem setting subsumes several previously studied frameworks that assume linear or invertible reward functions. We propose a novel approach to gradually estimate the hidden $θ^*$ and use the estimate together with the mean reward functions to substantially reduce exploration of sub-optimal arms. This approach enables us to fundamentally generalize any classic bandit algorithm includi…
We analyze the regret of combinatorial Thompson sampling (CTS) for the combinatorial multi-armed bandit with probabilistically triggered arms under the semi-bandit feedback setting. We assume that the learner has access to an exact optimization oracle but does not know the expected base arm outcomes beforehand. When the expected reward function is Lipschitz continuous in the expected base arm outcomes, we derive $O(\sum_{i =1}^m \log T / (p_i Δ_i))$ regret bound for CTS, where $m$ denotes the number of base arms, $p_i$ denotes the minimum non-zero triggering probability of base arm $i$ and $Δ_…
We consider a novel multi-armed bandit framework where the rewards obtained by pulling the arms are functions of a common latent random variable. The correlation between arms due to the common random source can be used to design a generalized upper-confidence-bound (UCB) algorithm that identifies certain arms as $non-competitive$, and avoids exploring them. As a result, we reduce a $K$-armed bandit problem to a $C+1$-armed problem, where $C+1$ includes the best arm and $C$ $competitive$ arms. Our regret analysis shows that the competitive arms need to be pulled $\mathcal{O}(\log T)$ times, whi…
Ohio State University（俄亥俄州立大学）；Iowa State University（爱荷华州立大学）
This paper studies the problem of identifying any $k$ distinct arms among the top $ρ$ fraction (e.g., top 5\%) of arms from a finite or infinite set with a probably approximately correct (PAC) tolerance $ε$. We consider two cases: (i) when the threshold of the top arms' expected rewards is known and (ii) when it is unknown. We prove lower bounds for the four variants (finite or infinite arms, and known or unknown threshold), and propose algorithms for each. Two of these algorithms are shown to be sample complexity optimal (up to constant factors) and the other two are optimal up to a log facto…
Tel Aviv University（特拉维夫大学）；Google Research（谷歌研究院）
Top-k Combinatorial Bandits generalize multi-armed bandits, where at each round any subset of $k$ out of $n$ arms may be chosen and the sum of the rewards is gained. We address the full-bandit feedback, in which the agent observes only the sum of rewards, in contrast to the semi-bandit feedback, in which the agent observes also the individual arms' rewards. We present the Combinatorial Successive Accepts and Rejects (CSAR) algorithm, which generalizes SAR (Bubeck et al, 2013) for top-k combinatorial bandits. Our main contribution is an efficient sampling scheme that uses Hadamard matrices in o…
School of Information Science and Technology University of Science and Technology of China（中国科学技术大学信息科学技术学院）
We consider a variant of the classic multi-armed bandit problem where the expected reward of each arm is a function of an unknown parameter. The arms are divided into different groups, each of which has a common parameter. Therefore, when the player selects an arm at each time slot, information of other arms in the same group is also revealed. This regional bandit model naturally bridges the non-informative bandit setting where the player can only learn the chosen arm, and the global bandit model where sampling one arms reveals information of all arms. We propose an efficient algorithm, UCB-g,…
University of Cambridge（剑桥大学）；INRIA Lille - Nord Europe（法国国家信息与自动化研究所里尔-北欧中心）
We consider a stochastic bandit problem with infinitely many arms. In this setting, the learner has no chance of trying all the arms even once and has to dedicate its limited number of samples only to a certain number of arms. All previous algorithms for this setting were designed for minimizing the cumulative regret of the learner. In this paper, we propose an algorithm aiming at minimizing the simple regret. As in the cumulative regret setting of infinitely many armed bandits, the rate of the simple regret will depend on a parameter $β$ characterizing the distribution of the near-optimal arm…
We consider stochastic multi-armed bandits where the expected reward is a unimodal function over partially ordered arms. This important class of problems has been recently investigated in (Cope 2009, Yu 2011). The set of arms is either discrete, in which case arms correspond to the vertices of a finite graph whose structure represents similarity in rewards, or continuous, in which case arms belong to a bounded interval. For discrete unimodal bandits, we derive asymptotic lower bounds for the regret achieved under any algorithm, and propose OSUB, an algorithm whose regret matches this lower bou…
University of Victoria（维多利亚大学）；Southeast University（东南大学）；Harbin Institute of Technology（哈尔滨工业大学）
We study the combinatorial sleeping multi-armed semi-bandit problem with long-term fairness constraints~(CSMAB-F). To address the problem, we adopt Thompson Sampling~(TS) to maximize the total rewards and use virtual queue techniques to handle the fairness constraints, and design an algorithm called \emph{TS with beta priors and Bernoulli likelihoods for CSMAB-F~(TSCSF-B)}. Further, we prove TSCSF-B can satisfy the fairness constraints, and the time-averaged regret is upper bounded by $\frac{N}{2η} + O\left(\frac{\sqrt{mNT\ln T}}{T}\right)$, where $N$ is the total number of arms, $m$ is the ma…
In this paper, we study the combinatorial multi-armed bandit problem (CMAB) with probabilistically triggered arms (PTAs). Under the assumption that the arm triggering probabilities (ATPs) are positive for all arms, we prove that a class of upper confidence bound (UCB) policies, named Combinatorial UCB with exploration rate $κ$ (CUCB-$κ$), and Combinatorial Thompson Sampling (CTS), which estimates the expected states of the arms via Thompson sampling, achieve bounded regret. In addition, we prove that CUCB-$0$ and CTS incur $O(\sqrt{T})$ gap-independent regret. These results improve the results…
We study the K-armed dueling bandit problem, a variation of the standard stochastic bandit problem where the feedback is limited to relative comparisons of a pair of arms. The hardness of recommending Copeland winners, the arms that beat the greatest number of other arms, is characterized by deriving an asymptotic regret bound. We propose Copeland Winners Relative Minimum Empirical Divergence (CW-RMED) and derive an asymptotically optimal regret bound for it. However, it is not known whether the algorithm can be efficiently computed or not. To address this issue, we devise an efficient version…
The dueling bandits problem is an online learning framework for learning from pairwise preference feedback, and is particularly well-suited for modeling settings that elicit subjective or implicit human feedback. In this paper, we study the problem of multi-dueling bandits with dependent arms, which extends the original dueling bandits setting by simultaneously dueling multiple arms as well as modeling dependencies between arms. These extensions capture key characteristics found in many real-world applications, and allow for the opportunity to develop significantly more efficient algorithms th…
University of Wisconsin（威斯康星大学）；University of Washington（华盛顿大学）
The pure-exploration problem in stochastic multi-armed bandits aims to find one or more arms with the largest (or near largest) means. Examples include finding an ε-good arm, best-arm identification, top-k arm identification, and finding all arms with means above a specified threshold. However, the problem of finding all ε-good arms has been overlooked in past work, although arguably this may be the most natural objective in many applications. For example, a virologist may conduct preliminary laboratory experiments on a large candidate set of treatments and move all ε-good treatments into more…
We study the problem of identifying the top $m$ arms in a multi-armed bandit game. Our proposed solution relies on a new algorithm based on successive rejects of the seemingly bad arms, and successive accepts of the good ones. This algorithmic contribution allows to tackle other multiple identifications settings that were previously out of reach. In particular we show that this idea of successive accepts and rejects applies to the multi-bandit best arm identification problem.
We consider the problem of identifying any $k$ out of the best $m$ arms in an $n$-armed stochastic multi-armed bandit. Framed in the PAC setting, this particular problem generalises both the problem of `best subset selection' and that of selecting `one out of the best m' arms [arcsk 2017]. In applications such as crowd-sourcing and drug-designing, identifying a single good solution is often not sufficient. Moreover, finding the best subset might be hard due to the presence of many indistinguishably close solutions. Our generalisation of identifying exactly $k$ arms out of the best $m$, where $…
Politecnico di Milano（米兰理工大学）；Facebook AI Research（脸书人工智能研究院）
We study finite-armed stochastic bandits where the rewards of each arm might be correlated to those of other arms. We introduce a novel phased algorithm that exploits the given structure to build confidence sets over the parameters of the true bandit problem and rapidly discard all sub-optimal arms. In particular, unlike standard bandit algorithms with no structure, we show that the number of times a suboptimal arm is selected may actually be reduced thanks to the information collected by pulling other arms. Furthermore, we show that, in some structures, the regret of an anytime extension of o…
This paper studies regret minimization in a multi-armed bandit. It is well known that side information, such as the prior distribution of arm means in Thompson sampling, can improve the statistical efficiency of the bandit algorithm. While the prior is a blessing when correctly specified, it is a curse when misspecified. To address this issue, we introduce the assumption of a random-effect model to bandits. In this model, the mean arm rewards are drawn independently from an unknown distribution, which we estimate. We derive a random-effect estimator of the arm means, analyze its uncertainty, a…
We propose algorithms based on a multi-level Thompson sampling scheme, for the stochastic multi-armed bandit and its contextual variant with linear expected rewards, in the setting where arms are clustered. We show, both theoretically and empirically, how exploiting a given cluster structure can significantly improve the regret and computational cost compared to using standard Thompson sampling. In the case of the stochastic multi-armed bandit we give upper bounds on the expected cumulative regret showing how it depends on the quality of the clustering. Finally, we perform an empirical evaluat…
Rice University（莱斯大学）；Arizona State University（亚利桑那州立大学）
In this paper, we introduce a new online decision making paradigm that we call Thresholding Graph Bandits. The main goal is to efficiently identify a subset of arms in a multi-armed bandit problem whose means are above a specified threshold. While traditionally in such problems, the arms are assumed to be independent, in our paradigm we further suppose that we have access to the similarity between the arms in the form of a graph, allowing us gain information about the arm means in fewer samples. Such settings play a key role in a wide range of modern decision making problems where rapid decisi…
Mode estimation is a classical problem in statistics with a wide range of applications in machine learning. Despite this, there is little understanding in its robustness properties under possibly adversarial data contamination. In this paper, we give precise robustness guarantees as well as privacy guarantees under simple randomization. We then introduce a theory for multi-armed bandits where the values are the modes of the reward distributions instead of the mean. We prove regret guarantees for the problems of top arm identification, top m-arms identification, contextual modal bandits, and in…
Carnegie Mellon University（卡内基梅隆大学）；New York University（纽约大学）
The Thresholding Bandit Problem (TBP) aims to find the set of arms with mean rewards greater than a given threshold. We consider a new setting of TBP, where in addition to pulling arms, one can also \emph{duel} two arms and get the arm with a greater mean. In our motivating application from crowdsourcing, dueling two arms can be more cost-effective and time-efficient than direct pulls. We refer to this problem as TBP with Dueling Choices (TBP-DC). This paper provides an algorithm called Rank-Search (RS) for solving TBP-DC by alternating between ranking and binary search. We prove theoretical g…
An adversarial bandit problem with memory constraints is studied where only the statistics of a subset of arms can be stored. A hierarchical learning policy that requires only a sublinear order of memory space in terms of the number of arms is developed. Its sublinear regret orders with respect to the time horizon are established for both weak regret and shifting regret. This work appears to be the first on memory-constrained bandit problems under the adversarial setting.
We introduce the safe linear stochastic bandit framework---a generalization of linear stochastic bandits---where, in each stage, the learner is required to select an arm with an expected reward that is no less than a predetermined (safe) threshold with high probability. We assume that the learner initially has knowledge of an arm that is known to be safe, but not necessarily optimal. Leveraging on this assumption, we introduce a learning algorithm that systematically combines known safe arms with exploratory arms to safely expand the set of safe arms over time, while facilitating safe greedy e…
John A. Paulson School of Engineering and Applied Sciences, Harvard University（哈佛大学约翰·A·保尔森工程与应用科学学院）
We consider the best-arm identification problem in multi-armed bandits, which focuses purely on exploration. A player is given a fixed budget to explore a finite set of arms, and the rewards of each arm are drawn independently from a fixed, unknown distribution. The player aims to identify the arm with the largest expected reward. We propose a general framework to unify sequential elimination algorithms, where the arms are dismissed iteratively until a unique arm is left. Our analysis reveals a novel performance measure expressed in terms of the sampling mechanism and number of eliminated arms…
We study dueling bandits with weak utility-based regret when preferences over arms have a total order and carry observable feature vectors. The order is assumed to be determined by these feature vectors, an unknown preference vector, and a known utility function. This structure introduces dependence between preferences for pairs of arms, and allows learning about the preference over one pair of arms from the preference over another pair of arms. We propose an algorithm for this setting called Comparing The Best (CTB), which we show has constant expected cumulative weak utility-based regret. We…
We consider stochastic multi-armed bandit problems with complex actions over a set of basic arms, where the decision maker plays a complex action rather than a basic arm in each round. The reward of the complex action is some function of the basic arms' rewards, and the feedback observed may not necessarily be the reward per-arm. For instance, when the complex actions are subsets of the arms, we may only observe the maximum reward over the chosen subset. Thus, feedback across complex actions may be coupled due to the nature of the reward function. We prove a frequentist regret bound for Thomps…
We consider a stochastic bandit problem with countably many arms that belong to a finite set of types, each characterized by a unique mean reward. In addition, there is a fixed distribution over types which sets the proportion of each type in the population of arms. The decision maker is oblivious to the type of any arm and to the aforementioned distribution over types, but perfectly knows the total number of types occurring in the population of arms. We propose a fully adaptive online learning algorithm that achieves O(log n) distribution-dependent expected cumulative regret after any number …
We consider the problem of \textit{best arm identification} with a \textit{fixed budget $T$}, in the $K$-armed stochastic bandit setting, with arms distribution defined on $[0,1]$. We prove that any bandit strategy, for at least one bandit problem characterized by a complexity $H$, will misidentify the best arm with probability lower bounded by $$\exp\Big(-\frac{T}{\log(K)H}\Big),$$ where $H$ is the sum for all sub-optimal arms of the inverse of the squared gaps. Our result disproves formally the general belief - coming from results in the fixed confidence setting - that there must exist an al…
Technion, Israel Institute of Technology（以色列理工学院）；Nvidia Research（英伟达研究院）
The Combinatorial Multi-Armed Bandit problem is a sequential decision-making problem in which an agent selects a set of arms on each round, observes feedback for each of these arms and aims to maximize a known reward function of the arms it chose. While previous work proved regret upper bounds in this setting for general reward functions, only a few works provided matching lower bounds, all for specific reward functions. In this work, we prove regret lower bounds for combinatorial bandits that hold under mild assumptions for all smooth reward functions. We derive both problem-dependent and pro…
We consider the problem of best arm identification in a variant of multi-armed bandits called linked bandits. In a single interaction with linked bandits, multiple arms are played sequentially until one of them receives a positive reward. Since each interaction provides feedback about more than one arm, the sample complexity can be much lower than in the regular bandit setting. We propose an algorithm for linked bandits, that combines a novel subroutine to perform uniform sampling with a known optimal algorithm for regular bandits. We prove almost matching upper and lower bounds on the sample …
INRIA Lille（法国国家信息与自动化研究所里尔分部）；CWI Amsterdam（阿姆斯特丹数学与计算机科学中心）；Otto von Guericke University Magdeburg（奥托·冯·古里克马格德堡大学）；University of Potsdam（波茨坦大学）
We consider a stochastic bandit problem with a possibly infinite number of arms. We write $p^*$ for the proportion of optimal arms and $Δ$ for the minimal mean-gap between optimal and sub-optimal arms. We characterize the optimal learning rates both in the cumulative regret setting, and in the best-arm identification setting in terms of the problem parameters $T$ (the budget), $p^*$ and $Δ$. For the objective of minimizing the cumulative regret, we provide a lower bound of order $Ω(\log(T)/(p^*Δ))$ and a UCB-style algorithm with matching upper bound up to a factor of $\log(1/Δ)$. Our algorithm…
Indiana University at Bloomington（印第安纳大学伯明顿分校）；University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
We consider the thresholding bandit problem, whose goal is to find arms of mean rewards above a given threshold $θ$, with a fixed budget of $T$ trials. We introduce LSA, a new, simple and anytime algorithm that aims to minimize the aggregate regret (or the expected number of mis-classified arms). We prove that our algorithm is instance-wise asymptotically optimal. We also provide comprehensive empirical results to demonstrate the algorithm's superior performance over existing algorithms under a variety of different scenarios.
We consider a dynamic pricing problem under unknown demand models. In this problem a seller offers prices to a stream of customers and observes either success or failure in each sale attempt. The underlying demand model is unknown to the seller and can take one of N possible forms. In this paper, we show that this problem can be formulated as a multi-armed bandit with dependent arms. We propose a dynamic pricing policy based on the likelihood ratio test. We show that the proposed policy achieves complete learning, i.e., it offers a bounded regret where regret is defined as the revenue loss wit…
Berry et al. (1997) initiated the development of the infinite arms bandit problem. They derived a regret lower bound of all allocation strategies for Bernoulli rewards with uniform priors, and proposed strategies based on success runs. Bonald and Proutière (2013) proposed a two-target algorithm that achieves the regret lower bound, and extended optimality to Bernoulli rewards with general priors. We present here a confidence bound target (CBT) algorithm that achieves optimality for rewards that are bounded above. For each arm we construct a confidence bound and compare it against each other an…
University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
In this paper, we study the problem of outlier arm detection in multi-armed bandit settings, which finds plenty of applications in many high-impact domains such as finance, healthcare, and online advertising. For this problem, a learner aims to identify the arms whose expected rewards deviate significantly from most of the other arms. Different from existing work, we target the generic outlier arms or outlier arm groups whose expected rewards can be larger, smaller, or even in between those of normal arms. To this end, we start by providing a comprehensive definition of such generic outlier ar…
University of Maryland, College Park（马里兰大学帕克分校）；LinkedIn Corp.（领英公司）；Indian Institute of Technology Madras（印度理工学院马德拉斯分校）
While the objective in traditional multi-armed bandit problems is to find the arm with the highest mean, in many settings, finding an arm that best captures information about other arms is of interest. This objective, however, requires learning the underlying correlation structure and not just the means of the arms. Sensors placement for industrial surveillance and cellular network monitoring are a few applications, where the underlying correlation structure plays an important role. Motivated by such applications, we formulate the correlated bandit problem, where the objective is to find the a…
The Australian National University（澳大利亚国立大学）；Data61, CSIRO（联邦科学与工业研究组织Data61部门）
We consider a variant of the best arm identification task in stochastic multi-armed bandits. Motivated by risk-averse decision-making problems, our goal is to identify a set of $m$ arms with the highest $τ$-quantile values within a fixed budget. We prove asymmetric two-sided concentration inequalities for order statistics and quantiles of random variables that have non-decreasing hazard rate, which may be of independent interest. With these inequalities, we analyse a quantile version of Successive Accepts and Rejects (Q-SAR). We derive an upper bound for the probability of arm misidentificatio…
We design decentralized algorithms for regret minimization in the two-sided matching market with one-sided bandit feedback that significantly improves upon the prior works (Liu et al. 2020a, 2020b, Sankararaman et al. 2020). First, for general markets, for any $\varepsilon > 0$, we design an algorithm that achieves a $O(\log^{1+\varepsilon}(T))$ regret to the agent-optimal stable matching, with unknown time horizon $T$, improving upon the $O(\log^{2}(T))$ regret achieved in (Liu et al. 2020b). Second, we provide the optimal $Θ(\log(T))$ agent-optimal regret for markets satisfying uniqueness co…
In this paper we consider the problem of best-arm identification in multi-armed bandits in the fixed confidence setting, where the goal is to identify, with probability $1-δ$ for some $δ>0$, the arm with the highest mean reward in minimum possible samples from the set of arms $\mathcal{K}$. Most existing best-arm identification algorithms and analyses operate under the assumption that the rewards corresponding to different arms are independent of each other. We propose a novel correlated bandit framework that captures domain knowledge about correlation between arms in the form of upper bounds …
Department of Computer Science, ETH Zurich（苏黎世联邦理工学院计算机科学系）
We consider a setting where multiple players sequentially choose among a common set of actions (arms). Motivated by a cognitive radio networks application, we assume that players incur a loss upon colliding, and that communication between players is not possible. Existing approaches assume that the system is stationary. Yet this assumption is often violated in practice, e.g., due to signal strength fluctuations. In this work, we design the first Multi-player Bandit algorithm that provably works in arbitrarily changing environments, where the losses of the arms may even be chosen by an adversar…
We study a regret minimization problem with the existence of multiple best/near-optimal arms in the multi-armed bandit setting. We consider the case when the number of arms/actions is comparable or much larger than the time horizon, and make no assumptions about the structure of the bandit instance. Our goal is to design algorithms that can automatically adapt to the unknown hardness of the problem, i.e., the number of best arms. Our setting captures many modern applications of bandit algorithms where the action space is enormous and the information about the underlying instance/structure is u…
In the Best-$K$ identification problem (Best-$K$-Arm), we are given $N$ stochastic bandit arms with unknown reward distributions. Our goal is to identify the $K$ arms with the largest means with high confidence, by drawing samples from the arms adaptively. This problem is motivated by various practical applications and has attracted considerable attention in the past decade. In this paper, we propose new practical algorithms for the Best-$K$-Arm problem, which have nearly optimal sample complexity bounds (matching the lower bound up to logarithmic factors) and outperform the state-of-the-art a…
City University of Hong Kong（香港城市大学）；University of Toronto（多伦多大学）；Fudan University（复旦大学）
In contextual continuum-armed bandits, the contexts $x$ and the arms $y$ are both continuous and drawn from high-dimensional spaces. The payoff function to learn $f(x,y)$ does not have a particular parametric form. The literature has shown that for Lipschitz-continuous functions, the optimal regret is $\tilde{O}(T^{\frac{d_x+d_y+1}{d_x+d_y+2}})$, where $d_x$ and $d_y$ are the dimensions of contexts and arms, and thus suffers from the curse of dimensionality. We develop an algorithm that achieves regret $\tilde{O}(T^{\frac{d_x+1}{d_x+2}})$ when $f$ is globally concave in $y$. The global concavi…
In many platforms, user arrivals exhibit a self-reinforcing behavior: future user arrivals are likely to have preferences similar to users who were satisfied in the past. In other words, arrivals exhibit positive externalities. We study multiarmed bandit (MAB) problems with positive externalities. We show that the self-reinforcing preferences may lead standard benchmark algorithms such as UCB to exhibit linear regret. We develop a new algorithm, Balanced Exploration (BE), which explores arms carefully to avoid suboptimal convergence of arrivals before sufficient evidence is gathered. We also i…
Google Research（谷歌研究院）；Amazon（亚马逊）；MIT（麻省理工学院）；Stanford University（斯坦福大学）；University of Texas at Austin（德克萨斯大学奥斯汀分校）
Motivated by modern applications, such as online advertisement and recommender systems, we study the top-$k$ extreme contextual bandits problem, where the total number of arms can be enormous, and the learner is allowed to select $k$ arms and observe all or some of the rewards for the chosen arms. We first propose an algorithm for the non-extreme realizable setting, utilizing the Inverse Gap Weighting strategy for selecting multiple arms. We show that our algorithm has a regret guarantee of $O(k\sqrt{(A-k+1)T \log (|\mathcal{F}|T)})$, where $A$ is the total number of arms and $\mathcal{F}$ is …
The Chinese University of Hong Kong（香港中文大学）；Chongqing University（重庆大学）
We generalize the multiple-play multi-armed bandits (MP-MAB) problem with a shareable arm setting, in which several plays can share the same arm. Furthermore, each shareable arm has a finite reward capacity and a ''per-load'' reward distribution, both of which are unknown to the learner. The reward from a shareable arm is load-dependent, which is the "per-load" reward multiplying either the number of plays pulling the arm, or its reward capacity when the number of plays exceeds the capacity limit. When the "per-load" reward follows a Gaussian distribution, we prove a sample complexity lower bo…
Technion - Israel Institute of Technology（以色列理工学院）
We consider the Max $K$-Armed Bandit problem, where a learning agent is faced with several sources (arms) of items (rewards), and interested in finding the best item overall. At each time step the agent chooses an arm, and obtains a random real valued reward. The rewards of each arm are assumed to be i.i.d., with an unknown probability distribution that generally differs among the arms. Under the PAC framework, we provide lower bounds on the sample complexity of any $(ε,δ)$-correct algorithm, and propose algorithms that attain this bound up to logarithmic factors. We compare the performance of…
Standard Multi-Armed Bandit (MAB) problems assume that the arms are independent. However, in many application scenarios, the information obtained by playing an arm provides information about the remainder of the arms. Hence, in such applications, this informativeness can and should be exploited to enable faster convergence to the optimal solution. In this paper, we introduce and formalize the Global MAB (GMAB), in which arms are globally informative through a global parameter, i.e., choosing an arm reveals information about all the arms. We propose a greedy policy for the GMAB which always sel…
This paper considers a multi-armed bandit game where the number of arms is much larger than the maximum budget and is effectively infinite. We characterize necessary and sufficient conditions on the total budget for an algorithm to return an ε-good arm with probability at least 1 - δ. In such situations, the sample complexity depends on ε, δ and the so-called reservoir distribution ν from which the means of the arms are drawn iid. While a substantial literature has developed around analyzing specific cases of ν such as the beta distribution, our analysis makes no assumption about the form of ν…
