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Delayed Feedback in Kernel Bandits
Proceedings of the 40th International Conference on Machine Learning, PMLR 202:34779-34792, 2023.
Abstract
Black box optimisation of an unknown function from expensive and noisy evaluations is a ubiquitous problem in machine learning, academic research and industrial production. An abstraction of the problem can be formulated as a kernel based bandit problem (also known as Bayesian optimisation), where a learner aims at optimising a kernelized function through sequential noisy observations. The existing work predominantly assumes feedback is immediately available; an assumption which fails in many real world situations, including recommendation systems, clinical trials and hyperparameter tuning. We consider a kernel bandit problem under stochastically delayed feedback, and propose an algorithm with ˜O(√Γk(T)T+E[τ]) regret, where T is the number of time steps, Γk(T) is the maximum information gain of the kernel with T observations, and τ is the delay random variable. This represents a significant improvement over the state of the art regret bound of ˜O(Γk(T)√T+E[τ]Γk(T)) reported in (Verma et al., 2022). In particular, for very non-smooth kernels, the information gain grows almost linearly in time, trivializing the existing results. We also validate our theoretical results with simulations.