Identifying Best Interventions through Online Importance Sampling


Rajat Sen, Karthikeyan Shanmugam, Alexandros G. Dimakis, Sanjay Shakkottai ;
Proceedings of the 34th International Conference on Machine Learning, PMLR 70:3057-3066, 2017.


Motivated by applications in computational advertising and systems biology, we consider the problem of identifying the best out of several possible soft interventions at a source node $V$ in an acyclic causal directed graph, to maximize the expected value of a target node $Y$ (located downstream of $V$). Our setting imposes a fixed total budget for sampling under various interventions, along with cost constraints on different types of interventions. We pose this as a best arm identification bandit problem with $K$ arms, where each arm is a soft intervention at $V$ and leverage the information leakage among the arms to provide the first gap dependent error and simple regret bounds for this problem. Our results are a significant improvement over the traditional best arm identification results. We empirically show that our algorithms outperform the state of the art in the Flow Cytometry data-set, and also apply our algorithm for model interpretation of the Inception-v3 deep net that classifies images.

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