Check the preview of 2nd version of this platform
being developed by the open MLCommons taskforce on automation and reproducibility
as a free, open-source and technology-agnostic on-prem platform.
Quick Best Action Identification in Linear Bandit Problems
lib:0fd07fd98490da1e (v1.0.0)
Authors: Jun Geng,Lifeng Lai
ArXiv: 1812.00365
Document: PDF DOI
Abstract URL: http://arxiv.org/abs/1812.00365v1
In this paper, we consider a best action identification problem in the stochastic linear bandit setup with a fixed confident constraint. In the considered best action identification problem, instead of minimizing the accumulative regret as done in existing works, the learner aims to obtain an accurate estimate of the underlying parameter based on his action and reward sequences. To improve the estimation efficiency, the learner is allowed to select his action based his historical information; hence the whole procedure is designed in a sequential adaptive manner. We first show that the existing algorithms designed to minimize the accumulative regret is not a consistent estimator and hence is not a good policy for our problem. We then characterize a lower bound on the estimation error for any policy. We further design a simple policy and show that the estimation error of the designed policy achieves the same scaling order as that of the derived lower bound.
ArXiv: 1812.00365
Document: PDF DOI
Abstract URL: http://arxiv.org/abs/1812.00365v1
In this paper, we consider a best action identification problem in the stochastic linear bandit setup with a fixed confident constraint. In the considered best action identification problem, instead of minimizing the accumulative regret as done in existing works, the learner aims to obtain an accurate estimate of the underlying parameter based on his action and reward sequences. To improve the estimation efficiency, the learner is allowed to select his action based his historical information; hence the whole procedure is designed in a sequential adaptive manner. We first show that the existing algorithms designed to minimize the accumulative regret is not a consistent estimator and hence is not a good policy for our problem. We then characterize a lower bound on the estimation error for any policy. We further design a simple policy and show that the estimation error of the designed policy achieves the same scaling order as that of the derived lower bound.
Relevant initiatives
Related knowledge about this paper
Reproduced results (crowd-benchmarking and competitions)
Artifact and reproducibility checklists
- ACM/cTuning artifact appendix and reproducibility checklist
- NeurIPS reproducibility checklist
- SIGPLAN's checklist for empirical evaluation
- Collective Knowledge (organizing research projects based on FAIR principles)