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Register a new userAn Efficient Algorithm For Generalized Linear Bandit: Online Stochastic Gradient Descent and Thompson Sampling
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We consider the contextual bandit problem, where a player sequentially makes decisions based on past observations to maximize the cumulative reward. Although many algorithms have been proposed for contextual bandit, most of them rely on finding the maximum likelihood estimator at each iteration, which requires $O(t)$ time at the $t$-th iteration and are memory inefficient. A natural way to resolve this problem is to apply online stochastic gradient descent (SGD) so that the per-step time and memory complexity can be reduced to constant with respect to $t$, but a contextual bandit policy based on online SGD updates that balances exploration and exploitation has remained elusive. In this work, we show that online SGD can be applied to the generalized linear bandit problem. The proposed SGD-TS algorithm, which uses a single-step SGD update to exploit past information and uses Thompson Sampling for exploration, achieves $tilde{O}(sqrt{T})$ regret with the total time complexity that scales linearly in $T$ and $d$, where $T$ is the total number of rounds and $d$ is the number of features. Experimental results show that SGD-TS consistently outperforms existing algorithms on both synthetic and real datasets.
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We consider a sequential subset selection problem under parameter uncertainty, where at each time step, the decision maker selects a subset of cardinality $K$ from $N$ possible items (arms), and observes a (bandit) feedback in the form of the index of one of the items in said subset, or none. Each item in the index set is ascribed a certain value (reward), and the feedback is governed by a Multinomial Logit (MNL) choice model whose parameters are a priori unknown. The objective of the decision maker is to maximize the expected cumulative rewards over a finite horizon $T$, or alternatively, minimize the regret relative to an oracle that knows the MNL parameters. We refer to this as the MNL-Bandit problem. This problem is representative of a larger family of exploration-exploitation problems that involve a combinatorial objective, and arise in several important application domains. We present an approach to adapt Thompson Sampling to this problem and show that it achieves near-optimal regret as well as attractive numerical performance.
Uncertainty sampling, a popular active learning algorithm, is used to reduce the amount of data required to learn a classifier, but it has been observed in practice to converge to different parameters depending on the initialization and sometimes to even better parameters than standard training on all the data. In this work, we give a theoretical explanation of this phenomenon, showing that uncertainty sampling on a convex loss can be interpreted as performing a preconditioned stochastic gradient step on a smoothed version of the population zero-one loss that converges to the population zero-one loss. Furthermore, uncertainty sampling moves in a descent direction and converges to stationary points of the smoothed population zero-one loss. Experiments on synthetic and real datasets support this connection.
We study the generalization properties of the popular stochastic optimization method known as stochastic gradient descent (SGD) for optimizing general non-convex loss functions. Our main contribution is providing upper bounds on the generalization error that depend on local statistics of the stochastic gradients evaluated along the path of iterates calculated by SGD. The key factors our bounds depend on are the variance of the gradients (with respect to the data distribution) and the local smoothness of the objective function along the SGD path, and the sensitivity of the loss function to perturbations to the final output. Our key technical tool is combining the information-theoretic generalization bounds previously used for analyzing randomized variants of SGD with a perturbation analysis of the iterates.
In this paper, we consider the worst-case regret of Linear Thompson Sampling (LinTS) for the linear bandit problem. citet{russo2014learning} show that the Bayesian regret of LinTS is bounded above by $widetilde{mathcal{O}}(dsqrt{T})$ where $T$ is the time horizon and $d$ is the number of parameters. While this bound matches the minimax lower-bounds for this problem up to logarithmic factors, the existence of a similar worst-case regret bound is still unknown. The only known worst-case regret bound for LinTS, due to cite{agrawal2013thompson,abeille2017linear}, is $widetilde{mathcal{O}}(dsqrt{dT})$ which requires the posterior variance to be inflated by a factor of $widetilde{mathcal{O}}(sqrt{d})$. While this bound is far from the minimax optimal rate by a factor of $sqrt{d}$, in this paper we show that it is the best possible one can get, settling an open problem stated in cite{russo2018tutorial}. Specifically, we construct examples to show that, without the inflation, LinTS can incur linear regret up to time $exp(Omega(d))$. We then demonstrate that, under mild conditions, a slightly modified version of LinTS requires only an $widetilde{mathcal{O}}(1)$ inflation where the constant depends on the diversity of the optimal arm.
Efficient exploration in bandits is a fundamental online learning problem. We propose a variant of Thompson sampling that learns to explore better as it interacts with bandit instances drawn from an unknown prior. The algorithm meta-learns the prior and thus we call it MetaTS. We propose several efficient implementations of MetaTS and analyze it in Gaussian bandits. Our analysis shows the benefit of meta-learning and is of a broader interest, because we derive a novel prior-dependent Bayes regret bound for Thompson sampling. Our theory is complemented by empirical evaluation, which shows that MetaTS quickly adapts to the unknown prior.
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