Fixed-Budget Best-Arm Identification in Contextual Bandits: A Static-Adaptive Algorithm

We study the problem of best-arm identification (BAI) in contextual bandits in the fixed-budget setting. We propose a general successive elimination algorithm that proceeds in stages and eliminates a fixed fraction of suboptimal arms in each stage. This design takes advantage of the strengths of static and adaptive allocations. We analyze the algorithm in linear models and obtain a better error bound than prior work. We also apply it to generalized linear models (GLMs) and bound its error. This is the first BAI algorithm for GLMs in the fixed-budget setting. Our extensive numerical experiments show that our algorithm outperforms the state of art.

CORe: Capitalizing On Rewards in Bandit Exploration

We propose a bandit algorithm that explores purely by randomizing its past observations. In particular, the sufficient optimism in the mean reward estimates is achieved by exploiting the variance in the past observed rewards. We name the algorithm Capitalizing On Rewards (CORe). The algorithm is general and can be easily applied to different bandit settings. The main benefit of CORe is that its exploration is fully data-dependent. It does not rely on any external noise and adapts to different problems without parameter tuning. We derive a $\tilde O(d\sqrt{n\log K})$ gap-free bound on the $n$-round regret of CORe in a stochastic linear bandit, where $d$ is the number of features and $K$ is the number of arms. Extensive empirical evaluation on multiple synthetic and real-world problems demonstrates the effectiveness of CORe.

Meta-Thompson Sampling

Efficient exploration in multi-armed bandits is a fundamental online learning problem. In this work, we propose a variant of Thompson sampling that learns to explore better as it interacts with problem instances drawn from an unknown prior distribution. Our algorithm meta-learns the prior and thus we call it Meta-TS. We propose efficient implementations of Meta-TS and analyze it in Gaussian bandits. Our analysis shows the benefit of meta-learning the prior and is of a broader interest, because we derive the first prior-dependent upper bound on the Bayes regret of Thompson sampling. This result is complemented by empirical evaluation, which shows that Meta-TS quickly adapts to the unknown prior.

Non-Stationary Latent Bandits

Users of recommender systems often behave in a non-stationary fashion, due to their evolving preferences and tastes over time. In this work, we propose a practical approach for fast personalization to non-stationary users. The key idea is to frame this problem as a latent bandit, where the prototypical models of user behavior are learned offline and the latent state of the user is inferred online from its interactions with the models. We call this problem a non-stationary latent bandit. We propose Thompson sampling algorithms for regret minimization in non-stationary latent bandits, analyze them, and evaluate them on a real-world dataset. The main strength of our approach is that it can be combined with rich offline-learned models, which can be misspecified, and are subsequently fine-tuned online using posterior sampling. In this way, we naturally combine the strengths of offline and online learning.

Influence Diagram Bandits: Variational Thompson Sampling for Structured Bandit Problems

We propose a novel framework for structured bandits, which we call an influence diagram bandit. Our framework captures complex statistical dependencies between actions, latent variables, and observations; and thus unifies and extends many existing models, such as combinatorial semi-bandits, cascading bandits, and low-rank bandits. We develop novel online learning algorithms that learn to act efficiently in our models. The key idea is to track a structured posterior distribution of model parameters, either exactly or approximately. To act, we sample model parameters from their posterior and then use the structure of the influence diagram to find the most optimistic action under the sampled parameters. We empirically evaluate our algorithms in three structured bandit problems, and show that they perform as well as or better than problem-specific state-of-the-art baselines.

Latent Bandits Revisited

A latent bandit problem is one in which the learning agent knows the arm reward distributions conditioned on an unknown discrete latent state. The primary goal of the agent is to identify the latent state, after which it can act optimally. This setting is a natural midpoint between online and offline learning---complex models can be learned offline with the agent identifying latent state online---of practical relevance in, say, recommender systems. In this work, we propose general algorithms for this setting, based on both upper confidence bounds (UCBs) and Thompson sampling. Our methods are contextual and aware of model uncertainty and misspecification. We provide a unified theoretical analysis of our algorithms, which have lower regret than classic bandit policies when the number of latent states is smaller than actions. A comprehensive empirical study showcases the advantages of our approach.

Piecewise-Stationary Off-Policy Optimization

Off-policy learning is a framework for evaluating and optimizing policies without deploying them, from data collected by another policy. Real-world environments are typically non-stationary and the offline learned policies should adapt to these changes. To address this challenge, we study the novel problem of off-policy optimization in piecewise-stationary contextual bandits. Our proposed solution has two phases. In the offline learning phase, we partition logged data into categorical latent states and learn a near-optimal sub-policy for each state. In the online deployment phase, we adaptively switch between the learned sub-policies based on their performance. This approach is practical and analyzable, and we provide guarantees on both the quality of off-policy optimization and the regret during online deployment. To show the effectiveness of our approach, we compare it to state-of-the-art baselines on both synthetic and real-world datasets. Our approach outperforms methods that act only on observed context.

Differentiable Meta-Learning in Contextual Bandits

We study a contextual bandit setting where the learning agent has access to sampled bandit instances from an unknown prior distribution $\mathcal{P}$. The goal of the agent is to achieve high reward on average over the instances drawn from $\mathcal{P}$. This setting is of a particular importance because it formalizes the offline optimization of bandit policies, to perform well on average over anticipated bandit instances. The main idea in our work is to optimize differentiable bandit policies by policy gradients. We derive reward gradients that reflect the structure of our problem, and propose contextual policies that are parameterized in a differentiable way and have low regret. Our algorithmic and theoretical contributions are supported by extensive experiments that show the importance of baseline subtraction, learned biases, and the practicality of our approach on a range of classification tasks.

Sample Efficient Graph-Based Optimization with Noisy Observations

We study sample complexity of optimizing "hill-climbing friendly" functions defined on a graph under noisy observations. We define a notion of convexity, and we show that a variant of best-arm identification can find a near-optimal solution after a small number of queries that is independent of the size of the graph. For functions that have local minima and are nearly convex, we show a sample complexity for the classical simulated annealing under noisy observations. We show effectiveness of the greedy algorithm with restarts and the simulated annealing on problems of graph-based nearest neighbor classification as well as a web document re-ranking application.