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1.
We consider a variant of the multi-armed bandit model, which we call scratch games, where the sequences of rewards are finite and drawn in advance with unknown starting dates. This new problem is motivated by online advertising applications where the number of ad displays is fixed according to a contract between the advertiser and the publisher, and where a new ad may appear at any time. The drawn-in-advance assumption is natural for the adversarial approach where an oblivious adversary is supposed to choose the reward sequences in advance. For the stochastic setting, it is functionally equivalent to an urn where draws are performed without replacement. The non-replacement assumption is suited to the sequential design of non-reproducible experiments, which is often the case in real world. By adapting the standard multi-armed bandit algorithms to take advantage of this setting, we propose three new algorithms: the first one is designed for adversarial rewards; the second one assumes a stochastic urn model; and the last one is based on a Bayesian approach. For the adversarial and stochastic approaches, we provide upper bounds of the regret which compare favorably with the ones of Exp3 and UCB1. We also confirm experimentally that these algorithms compare favorably with Exp3, UCB1 and Thompson Sampling by simulation with synthetic models and ad-serving data. 相似文献
2.
Algorithms based on upper confidence bounds for balancing exploration and exploitation are gaining popularity since they are easy to implement, efficient and effective. This paper considers a variant of the basic algorithm for the stochastic, multi-armed bandit problem that takes into account the empirical variance of the different arms. In earlier experimental works, such algorithms were found to outperform the competing algorithms. We provide the first analysis of the expected regret for such algorithms. As expected, our results show that the algorithm that uses the variance estimates has a major advantage over its alternatives that do not use such estimates provided that the variances of the payoffs of the suboptimal arms are low. We also prove that the regret concentrates only at a polynomial rate. This holds for all the upper confidence bound based algorithms and for all bandit problems except those special ones where with probability one the payoff obtained by pulling the optimal arm is larger than the expected payoff for the second best arm. Hence, although upper confidence bound bandit algorithms achieve logarithmic expected regret rates, they might not be suitable for a risk-averse decision maker. We illustrate some of the results by computer simulations. 相似文献
3.
在线核选择是在线核方法的重要工作,可分为过滤式、包裹式和嵌入式3种类型。已有在线核选择探索了包裹式方法和嵌入式方法,也经验地采用了过滤式方法,但迄今尚没有一个统一的框架来比较、分析并研究各种在线核选择问题。文中 提出一种在线核选择的多臂赌博机模型,该模型可作为一个统一框架,同时给出在线核选择的包裹式方法和嵌入式方法。给定候选核集合,候选集中的一个核对应多臂赌博机模型中的一个臂,在线核选择的每回合依据一个概率分布重复地随机选择多个核,并应用指数加权的方法来更新该概率分布。这样,在线核选择问题本质上可归约为一个非遗忘对手环境下的对抗式多臂赌博机问题,并可应用对抗式多臂赌博机模型统一地给出在线核选择的包裹式方法和嵌入式方法。文中进一步提出一个新的在线核选择后悔的概念,理论证明包裹式方法具有关于回合数亚线性的弱期望后悔界,并且嵌入式方法具有关于回合数亚线性的期望后悔界。最后,在标准数据集上通过实验验证了所提统一框架的可行性。 相似文献
4.
Intuitively, it is clear that trust or shared taste enables a community of users to make better decisions over time, by learning cooperatively and avoiding one another's mistakes. However, it is also clear that the presence of malicious, dishonest users in the community threatens the usefulness of such collaborative learning processes. We investigate this issue by developing algorithms for a multi-user online learning problem in which each user makes a sequence of decisions about selecting products or resources. Our model, which generalizes the adversarial multi-armed bandit problem, is characterized by two key features: - (1)
- The quality of the products or resources may vary over time.
- (2)
- Some of the users in the system may be dishonest, Byzantine agents.
Decision problems with these features underlie applications such as reputation and recommendation systems in e-commerce, and resource location systems in peer-to-peer networks. Assuming the number of honest users is at least a constant fraction of the number of resources, and that the honest users can be partitioned into groups such that individuals in a group make identical assessments of resources, we present an algorithm whose expected regret per user is linear in the number of groups and only logarithmic in the number of resources. This bound compares favorably with the naïve approach in which each user ignores feedback from peers and chooses resources using a multi-armed bandit algorithm; in this case the expected regret per user would be polynomial in the number of resources. 相似文献
5.
A multi-armed bandit episode consists of n trials, each allowing selection of one of K arms, resulting in payoff from a distribution over [0,1] associated with that arm. We assume contextual side information is available at the start of the episode. This context enables an arm predictor to identify possible favorable arms, but predictions may be imperfect so that they need to be combined with further exploration during the episode. Our setting is an alternative to classical multi-armed bandits which provide no contextual side information, and is also an alternative to contextual bandits which provide new context each individual trial. Multi-armed bandits with episode context can arise naturally, for example in computer Go where context is used to bias move decisions made by a multi-armed bandit algorithm. The UCB1 algorithm for multi-armed bandits achieves worst-case regret bounded by \(O\left(\sqrt{Kn\log(n)}\right)\). We seek to improve this using episode context, particularly in the case where K is large. Using a predictor that places weight M i ?>?0 on arm i with weights summing to 1, we present the PUCB algorithm which achieves regret \(O\left(\frac{1}{M_{\ast}}\sqrt{n\log(n)}\right)\) where M ??? is the weight on the optimal arm. We illustrate the behavior of PUCB with small simulation experiments, present extensions that provide additional capabilities for PUCB, and describe methods for obtaining suitable predictors for use with PUCB. 相似文献
6.
We study on-line decision problems where the set of actions that are available to the decision algorithm varies over time. With a few notable exceptions, such problems remained largely unaddressed in the literature, despite their applicability to a large number of practical problems. Departing from previous work on this “Sleeping Experts” problem, we compare algorithms against the payoff obtained by the best ordering of the actions, which is a natural benchmark for this type of problem. We study both the full-information (best expert) and partial-information (multi-armed bandit) settings and consider both stochastic and adversarial rewards models. For all settings we give algorithms achieving (almost) information-theoretically optimal regret bounds (up to a constant or a sub-logarithmic factor) with respect to the best-ordering benchmark. 相似文献
7.
Agents can learn to improve their coordination with their teammates and increase team performance. There are finite training instances, where each training instance is an opportunity for the learning agents to improve their coordination. In this article, we focus on allocating training instances to learning agent pairs, i.e., pairs that improve coordination with each other, with the goal of team formation. Agents learn at different rates, and hence, the allocation of training instances affects the performance of the team formed. We build upon previous work on the Synergy Graph model, that is learned completely from data and represents agents’ capabilities and compatibility in a multi-agent team. We formally define the learning agents team formation problem, and compare it with the multi-armed bandit problem. We consider learning agent pairs that improve linearly and geometrically, i.e., the marginal improvement decreases by a constant factor. We contribute algorithms that allocate the training instances, and compare against algorithms from the multi-armed bandit problem. In our simulations, we demonstrate that our algorithms perform similarly to the bandit algorithms in the linear case, and outperform them in the geometric case. Further, we apply our model and algorithms to a multi-agent foraging problem, thus demonstrating the efficacy of our algorithms in general multi-agent problems. 相似文献
8.
Machine Learning - We consider multi-objective multi-armed bandit with (i) lexicographically ordered and (ii) satisficing objectives. In the first problem, the goal is to select arms that are... 相似文献
9.
针对在线零售商在不完全需求信息下的单产品定价问题,提出了一种基于多摇臂赌博机的产品定价算法.为了提升多摇臂赌博机算法在定价问题中的效果,该算法利用了需求曲线的单调性,并加入了消费者偏好识别.对消费者的保留价格进行分析得到消费者购买概率,将在线零售商的定价问题建模为多摇臂赌博机模型,给出了相应的定价算法并进行了理论分析,... 相似文献
10.
In this paper, we explore the adaption of techniques previously used in the domains of adversarial machine learning and differential privacy to mitigate the ML-powered analysis of streaming traffic. Our findings are twofold. First, constructing adversarial samples effectively confounds an adversary with a predetermined classifier but is less effective when the adversary can adapt to the defense by using alternative classifiers or training the classifier with adversarial samples. Second, differential-privacy guarantees are very effective against such statistical-inference-based traffic analysis, while remaining agnostic to the machine learning classifiers used by the adversary. We propose three mechanisms for enforcing differential privacy for encrypted streaming traffic and evaluate their security and utility. Our empirical implementation and evaluation suggest that the proposed statistical privacy approaches are promising solutions in the underlying scenarios 相似文献
11.
We consider the framework of stochastic multi-armed bandit problems and study the possibilities and limitations of forecasters that perform an on-line exploration of the arms. These forecasters are assessed in terms of their simple regret, a regret notion that captures the fact that exploration is only constrained by the number of available rounds (not necessarily known in advance), in contrast to the case when the cumulative regret is considered and when exploitation needs to be performed at the same time. We believe that this performance criterion is suited to situations when the cost of pulling an arm is expressed in terms of resources rather than rewards. We discuss the links between the simple and the cumulative regret. One of the main results in the case of a finite number of arms is a general lower bound on the simple regret of a forecaster in terms of its cumulative regret: the smaller the latter, the larger the former. Keeping this result in mind, we then exhibit upper bounds on the simple regret of some forecasters. The paper ends with a study devoted to continuous-armed bandit problems; we show that the simple regret can be minimized with respect to a family of probability distributions if and only if the cumulative regret can be minimized for it. Based on this equivalence, we are able to prove that the separable metric spaces are exactly the metric spaces on which these regrets can be minimized with respect to the family of all probability distributions with continuous mean-payoff functions. 相似文献
12.
This paper studies an online linear optimization problem generalizing the multi-armed bandit problem. Motivated primarily by the task of designing adaptive routing algorithms for overlay networks, we present two randomized online algorithms for selecting a sequence of routing paths in a network with unknown edge delays varying adversarially over time. In contrast with earlier work on this problem, we assume that the only feedback after choosing such a path is the total end-to-end delay of the selected path. We present two algorithms whose regret is sublinear in the number of trials and polynomial in the size of the network. The first of these algorithms generalizes to solve any online linear optimization problem, given an oracle for optimizing linear functions over the set of strategies; our work may thus be interpreted as a general-purpose reduction from offline to online linear optimization. A key element of this algorithm is the notion of a barycentric spanner, a special type of basis for the vector space of strategies which allows any feasible strategy to be expressed as a linear combination of basis vectors using bounded coefficients.We also present a second algorithm for the online shortest path problem, which solves the problem using a chain of online decision oracles, one at each node of the graph. This has several advantages over the online linear optimization approach. First, it is effective against an adaptive adversary, whereas our linear optimization algorithm assumes an oblivious adversary. Second, even in the case of an oblivious adversary, the second algorithm performs slightly better than the first, as measured by their additive regret. 相似文献
13.
This technical note presents a recursive sampling-based algorithm for finite horizon two-person zero-sum Markov games (MGs) based on the Exp3 algorithm developed by Auer et al. for adaptive adversarial multi-armed bandit problems. We provide a finite-iteration bound to the equilibrium value of the induced “sample average approximation game” of a given MG and prove asymptotic convergence to the equilibrium value of the given MG. The time and space complexities of the algorithm are independent of the state space of the game. 相似文献
14.
In its most basic form, bandit theory is concerned with the design problem of sequentially choosing members from a given collection of random variables so that the regret, i.e., R n=Σ j (μ*-μ j)ET n(j), grows as slowly as possible with increasing n. Here μ j is the expected value of the bandit arm (i.e., random variable) indexed by j, T n(j) is the number of times arm j has been selected in the first n decision stages, and μ *=sup j μ j. The present paper contributes to the theory by considering the situation in which observations are dependent. To begin with, the dependency is presumed to depend only on past observations of the same arm, but later, we allow that it may be with respect to the entire past and that the set of arms is infinite. This brings queues and, more generally, controlled Markov processes into our purview. Thus our “black-box” methodology is suitable for the case when the only observables are cost values and, in particular, the probability structure and loss function are unknown to the designer. The conclusion of the analysis is that under lenient conditions, using algorithms prescribed herein, risk growth is commensurate with that in the simplest i.i.d. cases. Our methods represent an alternative to stochastic-approximation/perturbation-analysis ideas for tuning queues 相似文献
15.
In the multiarmed bandit problem the dilemma between exploration and exploitation in reinforcement learning is expressed as a model of a gambler playing a slot machine with multiple arms. A policy chooses an arm in each round so as to minimize the number of times that arms with suboptimal expected rewards are pulled. We propose the minimum empirical divergence (MED) policy and derive an upper bound on the finite-time regret which meets the asymptotic bound for the case of finite support models. In a setting similar to ours, Burnetas and Katehakis have already proposed an asymptotically optimal policy. However, we do not assume any knowledge of the support except for its upper and lower bounds. Furthermore, the criterion for choosing an arm, minimum empirical divergence, can be computed easily by a convex optimization technique. We confirm by simulations that the MED policy demonstrates good performance in finite time in comparison to other currently popular policies. 相似文献
16.
We propose a method that learns to allocate computation time to a given set of algorithms, of unknown performance, with the
aim of solving a given sequence of problem instances in a minimum time. Analogous meta-learning techniques are typically based on models of algorithm performance, learned during a separate offline training sequence, which can be prohibitively expensive. We adopt instead an online approach, named G AMBLETA, in which algorithm performance models are iteratively updated, and used to guide allocation on a sequence of problem instances.
G AMBLETA is a general method for selecting among two or more alternative algorithm portfolios. Each portfolio has its own way of
allocating computation time to the available algorithms, possibly based on performance models, in which case its performance
is expected to improve over time, as more runtime data becomes available. The resulting exploration-exploitation trade-off is represented as a bandit problem. In our previous work, the algorithms corresponded to the arms of the bandit,
and allocations evaluated by the different portfolios were mixed, using a solver for the bandit problem with expert advice,
but this required the setting of an arbitrary bound on algorithm runtimes, invalidating the optimal regret of the solver.
In this paper, we propose a simpler version of G AMBLETA, in which the allocators correspond to the arms, such that a single portfolio is selected for each instance. The selection
is represented as a bandit problem with partial information, and an unknown bound on losses. We devise a solver for this game, proving a bound on its expected regret. We present experiments based on
results from several solver competitions, in various domains, comparing G AMBLETA with another online method. 相似文献
17.
机器学习算法为很多安全应用提供了良好的解决方案,然而机器学习算法本身却面临被敌手攻击的威胁。为分析敌手攻击对机器学习算法造成的影响,本文提出符合某些特定场合的敌手攻击模型,并在该模型下比较几种线性分类器的对抗性。最后在垃圾邮件过滤公开数据库上进行测试,实验结果表明,支持向量分类器具有相对较好的对抗性。 相似文献
18.
We consider the problem of providing decision support to a patrolling or security service in an adversarial domain. The idea
is to create patrols that can achieve a high level of coverage or reward while taking into account the presence of an adversary.
We assume that the adversary can learn or observe the patrolling strategy and use this to its advantage. We follow two different
approaches depending on what is known about the adversary. If there is no information about the adversary we use a Markov
Decision Process (MDP) to represent patrols and identify randomized solutions that minimize the information available to the
adversary. This lead to the development of algorithms CRLP and BRLP, for policy randomization of MDPs. Second, when there
is partial information about the adversary we decide on efficient patrols by solving a Bayesian–Stackelberg games. Here, the
leader decides first on a patrolling strategy and then an adversary, of possibly many adversary types, selects its best response
for the given patrol. We provide two efficient MIP formulations named DOBSS and ASAP to solve this NP-hard problem. Our experimental
results show the efficiency of these algorithms and illustrate how these techniques provide optimal and secure patrolling
policies. We note that these models have been applied in practice, with DOBSS being at the heart of the ARMOR system that
is currently deployed at the Los Angeles International airport (LAX) for randomizing checkpoints on the roadways entering
the airport and canine patrol routes within the airport terminals.
相似文献
19.
We describe a search robot (crawler) intended to collect information regarding outgoing hyperlinks from a given set of web sites related to a certain topic. The crawler’s adaptive behavior is formulated in terms of a multi-armed bandit problem. Our experiments show that the choice of an adaptive algorithm for the crawler’s rational behavior depends on the actual topic of the underlying set of web sites. 相似文献
20.
We present a new multiclass algorithm in the bandit framework, where after making a prediction, the learning algorithm receives only partial feedback, i.e., a single bit indicating whether the predicted label is correct or not, rather than the true label. Our algorithm is based on the second-order Perceptron, and uses upper-confidence bounds to trade-off exploration and exploitation, instead of random sampling as performed by most current algorithms. We analyze this algorithm in a partial adversarial setting, where instances are chosen adversarially, while the labels are chosen according to a linear probabilistic model which is also chosen adversarially. We show a regret of $\mathcal{O}(\sqrt{T}\log T)$ , which improves over the current best bounds of $\mathcal{O}(T^{2/3})$ in the fully adversarial setting. We evaluate our algorithm on nine real-world text classification problems and on four vowel recognition tasks, often obtaining state-of-the-art results, even compared with non-bandit online algorithms, especially when label noise is introduced. 相似文献
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