اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدOn Worst-case Regret of Linear Thompson Sampling
95
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
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.
قيم البحث
اقرأ أيضاً
Thompson Sampling is one of the oldest heuristics for multi-armed bandit problems. It is a randomized algorithm based on Bayesian ideas, and has recently generated significant interest after several studies demonstrated it to have better empirical pe
rformance compared to the state of the art methods. In this paper, we provide a novel regret analysis for Thompson Sampling that simultaneously proves both the optimal problem-dependent bound of $(1+epsilon)sum_i frac{ln T}{Delta_i}+O(frac{N}{epsilon^2})$ and the first near-optimal problem-independent bound of $O(sqrt{NTln T})$ on the expected regret of this algorithm. Our near-optimal problem-independent bound solves a COLT 2012 open problem of Chapelle and Li. The optimal problem-dependent regret bound for this problem was first proven recently by Kaufmann et al. [ALT 2012]. Our novel martingale-based analysis techniques are conceptually simple, easily extend to distributions other than the Beta distribution, and also extend to the more general contextual bandits setting [Manuscript, Agrawal and Goyal, 2012].
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.
Thompson Sampling provides an efficient technique to introduce prior knowledge in the multi-armed bandit problem, along with providing remarkable empirical performance. In this paper, we revisit the Thompson Sampling algorithm under rewards drawn fro
m symmetric $alpha$-stable distributions, which are a class of heavy-tailed probability distributions utilized in finance and economics, in problems such as modeling stock prices and human behavior. We present an efficient framework for posterior inference, which leads to two algorithms for Thompson Sampling in this setting. We prove finite-time regret bounds for both algorithms, and demonstrate through a series of experiments the stronger performance of Thompson Sampling in this setting. With our results, we provide an exposition of symmetric $alpha$-stable distributions in sequential decision-making, and enable sequential Bayesian inference in applications from diverse fields in finance and complex systems that operate on heavy-tailed features.
We consider a finite-horizon multi-armed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With this framework, we define an intuitive family of control policies that include Thompson sampl
ing (TS) and the Bayesian optimal policy as endpoints. Analogous to TS, which, at each decision epoch pulls an arm that is best with respect to the randomly sampled parameters, our algorithms sample entire future reward realizations and take the corresponding best action. However, this is done in the presence of penalties that seek to compensate for the availability of future information. We develop several novel policies and performance bounds for MAB problems that vary in terms of improving performance and increasing computational complexity between the two endpoints. Our policies can be viewed as natural generalizations of TS that simultaneously incorporate knowledge of the time horizon and explicitly consider the exploration-exploitation trade-off. We prove associated structural results on performance bounds and suboptimality gaps. Numerical experiments suggest that this new class of policies perform well, in particular in settings where the finite time horizon introduces significant exploration-exploitation tension into the problem. Finally, inspired by the finite-horizon Gittins index, we propose an index policy that builds on our framework that particularly outperforms the state-of-the-art algorithms in our numerical experiments.
We address multi-armed bandits (MAB) where the objective is to maximize the cumulative reward under a probabilistic linear constraint. For a few real-world instances of this problem, constrained extensions of the well-known Thompson Sampling (TS) heu
ristic have recently been proposed. However, finite-time analysis of constrained TS is challenging; as a result, only O(sqrt{T}) bounds on the cumulative reward loss (i.e., the regret) are available. In this paper, we describe LinConTS, a TS-based algorithm for bandits that place a linear constraint on the probability of earning a reward in every round. We show that for LinConTS, the regret as well as the cumulative constraint violations are upper bounded by O(log T) for the suboptimal arms. We develop a proof technique that relies on careful analysis of the dual problem and combine it with recent theoretical work on unconstrained TS. Through numerical experiments on two real-world datasets, we demonstrate that LinConTS outperforms an asymptotically optimal upper confidence bound (UCB) scheme in terms of simultaneously minimizing the regret and the violation.
الأسئلة المقترحة
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
