BelMan: An Information-Geometric Approach to Stochastic Bandits
Paper i proceeding, 2020

We propose a Bayesian information-geometric approach to the exploration–exploitation trade-off in stochastic multi-armed bandits. The uncertainty on reward generation and belief is represented using the manifold of joint distributions of rewards and beliefs. Accumulated information is summarised by the barycentre of joint distributions, the pseudobelief-reward. While the pseudobelief-reward facilitates information accumulation through exploration, another mechanism is needed to increase exploitation by gradually focusing on higher rewards, the pseudobelief-focal-reward. Our resulting algorithm, BelMan, alternates between projection of the pseudobelief-focal-reward onto belief-reward distributions to choose the arm to play, and projection of the updated belief-reward distributions onto the pseudobelief-focal-reward. We theoretically prove BelMan to be asymptotically optimal and to incur a sublinear regret growth. We instantiate BelMan to stochastic bandits with Bernoulli and exponential rewards, and to a real-life application of scheduling queueing bandits. Comparative evaluation with the state of the art shows that BelMan is not only competitive for Bernoulli bandits but in many cases also outperforms other approaches for exponential and queueing bandits.

Författare

Debabrota Basu

Chalmers, Data- och informationsteknik, Data Science

Pierre Senellart

Institut National de Recherche en Informatique et en Automatique (INRIA)

Departement d'Informatique de l'Ecole Normale Superieure

Stéphane Bressan

Universiti Kebangsaan Singapura (NUS)

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

03029743 (ISSN) 16113349 (eISSN)

Vol. 11908 LNAI 167-183

European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, ECML PKDD 2019
Wurzburg, Germany,

Ämneskategorier

Sannolikhetsteori och statistik

Datavetenskap (datalogi)

Datorsystem

DOI

10.1007/978-3-030-46133-1_11

Mer information

Senast uppdaterat

2020-06-03