Provably Efficient Exploration in Constrained Reinforcement Learning:Posterior Sampling Is All You Need

We present a new algorithm based on posterior sampling for learning in constrained Markov decision processes (CMDP) in the infinite-horizon undiscounted setting. The algorithm achieves near-optimal regret bounds while being advantageous empirically compared to the existing algorithms. Our main theoretical result is a Bayesian regret bound for each cost component of \tilde{O} (HS \sqrt{AT}) for any communicating CMDP with S states, A actions, and bound on the hitting time H. This regret bound matches the lower bound in order of time horizon T and is the best-known regret bound for communicating CMDPs in the infinite-horizon undiscounted setting. Empirical results show that, despite its simplicity, our posterior sampling algorithm outperforms the existing algorithms for constrained reinforcement learning.

Learning Optimal Bidding Strategy: Case Study in E-Commerce Advertising

Although the bandits framework is a classical and well-suited approach for optimal bidding strategies in sponsored search auctions, industrial attempts are rarely documented. This paper outlines the development process at Zalando, a leading fashion e-commerce company, and describes the promising outcomes of a bandits-based approach to increase profitability in sponsored search auctions. We discuss in detail the technical and theoretical challenges that were overcome during the implementation, as well as the mechanisms that led to increased profitability.

An Empirical Evaluation of Posterior Sampling for Constrained Reinforcement Learning

We study a posterior sampling approach to efficient exploration in constrained reinforcement learning. Alternatively to existing algorithms, we propose two simple algorithms that are more efficient statistically, simpler to implement and computationally cheaper. The first algorithm is based on a linear formulation of CMDP, and the second algorithm leverages the saddle-point formulation of CMDP. Our empirical results demonstrate that, despite its simplicity, posterior sampling achieves state-of-the-art performance and, in some cases, significantly outperforms optimistic algorithms.

The Impact of Batch Learning in Stochastic Linear Bandits

We consider a special case of bandit problems, named batched bandits, in which an agent observes batches of responses over a certain time period. Unlike previous work, we consider a practically relevant batch-centric scenario of batch learning. That is to say, we provide a policy-agnostic regret analysis and demonstrate upper and lower bounds for the regret of a candidate policy. Our main theoretical results show that the impact of batch learning can be measured proportional to the regret of online behavior. Primarily, we study two settings of the problem: instance-independent and instance-dependent. While the upper bound is the same for both settings, the worst-case lower bound is more comprehensive in the former case and more accurate in the latter one. Also, we provide a more robust result for the 2-armed bandit problem as an important insight. Finally, we demonstrate the consistency of theoretical results by conducting empirical experiments and reflect on the optimal batch size choice.

The Impact of Batch Learning in Stochastic Bandits

We consider a special case of bandit problems, namely batched bandits. Motivated by natural restrictions of recommender systems and e-commerce platforms, we assume that a learning agent observes responses batched in groups over a certain time period. Unlike previous work, we consider a more practically relevant batch-centric scenario of batch learning. We provide a policy-agnostic regret analysis and demonstrate upper and lower bounds for the regret of a candidate policy. Our main theoretical results show that the impact of batch learning can be measured in terms of online behavior. Finally, we demonstrate the consistency of theoretical results by conducting empirical experiments and reflect on the optimal batch size choice.