On Bayesian Upper Confidence Bounds for Bandit Problems

Emilie Kaufmann, Olivier Cappe, Aurelien Garivier
; Proceedings of the Fifteenth International Conference on Artificial Intelligence and Statistics, PMLR 22:592-600, 2012.

Abstract

Stochastic bandit problems have been analyzed from two different perspectives: a frequentist view, where the parameter is a deterministic unknown quantity, and a Bayesian approach, where the parameter is drawn from a prior distribution. We show in this paper that methods derived from this second perspective prove optimal when evaluated using the frequentist cumulated regret as a measure of performance. We give a general formulation for a class of Bayesian index policies that rely on quantiles of the posterior distribution. For binary bandits, we prove that the corresponding algorithm, termed Bayes-UCB, satisfies finite-time regret bounds that imply its asymptotic optimality. More generally, Bayes-UCB appears as an unifying framework for several variants of the UCB algorithm addressing different bandit problems (parametric multi-armed bandits, Gaussian bandits with unknown mean and variance, linear bandits). But the generality of the Bayesian approach makes it possible to address more challenging models. In particular, we show how to handle linear bandits with sparsity constraints by resorting to Gibbs sampling.

Cite this Paper


BibTeX
@InProceedings{pmlr-v22-kaufmann12, title = {On Bayesian Upper Confidence Bounds for Bandit Problems}, author = {Emilie Kaufmann and Olivier Cappe and Aurelien Garivier}, booktitle = {Proceedings of the Fifteenth International Conference on Artificial Intelligence and Statistics}, pages = {592--600}, year = {2012}, editor = {Neil D. Lawrence and Mark Girolami}, volume = {22}, series = {Proceedings of Machine Learning Research}, address = {La Palma, Canary Islands}, month = {21--23 Apr}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v22/kaufmann12/kaufmann12.pdf}, url = {http://proceedings.mlr.press/v22/kaufmann12.html}, abstract = {Stochastic bandit problems have been analyzed from two different perspectives: a frequentist view, where the parameter is a deterministic unknown quantity, and a Bayesian approach, where the parameter is drawn from a prior distribution. We show in this paper that methods derived from this second perspective prove optimal when evaluated using the frequentist cumulated regret as a measure of performance. We give a general formulation for a class of Bayesian index policies that rely on quantiles of the posterior distribution. For binary bandits, we prove that the corresponding algorithm, termed Bayes-UCB, satisfies finite-time regret bounds that imply its asymptotic optimality. More generally, Bayes-UCB appears as an unifying framework for several variants of the UCB algorithm addressing different bandit problems (parametric multi-armed bandits, Gaussian bandits with unknown mean and variance, linear bandits). But the generality of the Bayesian approach makes it possible to address more challenging models. In particular, we show how to handle linear bandits with sparsity constraints by resorting to Gibbs sampling.} }
Endnote
%0 Conference Paper %T On Bayesian Upper Confidence Bounds for Bandit Problems %A Emilie Kaufmann %A Olivier Cappe %A Aurelien Garivier %B Proceedings of the Fifteenth International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2012 %E Neil D. Lawrence %E Mark Girolami %F pmlr-v22-kaufmann12 %I PMLR %J Proceedings of Machine Learning Research %P 592--600 %U http://proceedings.mlr.press %V 22 %W PMLR %X Stochastic bandit problems have been analyzed from two different perspectives: a frequentist view, where the parameter is a deterministic unknown quantity, and a Bayesian approach, where the parameter is drawn from a prior distribution. We show in this paper that methods derived from this second perspective prove optimal when evaluated using the frequentist cumulated regret as a measure of performance. We give a general formulation for a class of Bayesian index policies that rely on quantiles of the posterior distribution. For binary bandits, we prove that the corresponding algorithm, termed Bayes-UCB, satisfies finite-time regret bounds that imply its asymptotic optimality. More generally, Bayes-UCB appears as an unifying framework for several variants of the UCB algorithm addressing different bandit problems (parametric multi-armed bandits, Gaussian bandits with unknown mean and variance, linear bandits). But the generality of the Bayesian approach makes it possible to address more challenging models. In particular, we show how to handle linear bandits with sparsity constraints by resorting to Gibbs sampling.
RIS
TY - CPAPER TI - On Bayesian Upper Confidence Bounds for Bandit Problems AU - Emilie Kaufmann AU - Olivier Cappe AU - Aurelien Garivier BT - Proceedings of the Fifteenth International Conference on Artificial Intelligence and Statistics PY - 2012/03/21 DA - 2012/03/21 ED - Neil D. Lawrence ED - Mark Girolami ID - pmlr-v22-kaufmann12 PB - PMLR SP - 592 DP - PMLR EP - 600 L1 - http://proceedings.mlr.press/v22/kaufmann12/kaufmann12.pdf UR - http://proceedings.mlr.press/v22/kaufmann12.html AB - Stochastic bandit problems have been analyzed from two different perspectives: a frequentist view, where the parameter is a deterministic unknown quantity, and a Bayesian approach, where the parameter is drawn from a prior distribution. We show in this paper that methods derived from this second perspective prove optimal when evaluated using the frequentist cumulated regret as a measure of performance. We give a general formulation for a class of Bayesian index policies that rely on quantiles of the posterior distribution. For binary bandits, we prove that the corresponding algorithm, termed Bayes-UCB, satisfies finite-time regret bounds that imply its asymptotic optimality. More generally, Bayes-UCB appears as an unifying framework for several variants of the UCB algorithm addressing different bandit problems (parametric multi-armed bandits, Gaussian bandits with unknown mean and variance, linear bandits). But the generality of the Bayesian approach makes it possible to address more challenging models. In particular, we show how to handle linear bandits with sparsity constraints by resorting to Gibbs sampling. ER -
APA
Kaufmann, E., Cappe, O. & Garivier, A.. (2012). On Bayesian Upper Confidence Bounds for Bandit Problems. Proceedings of the Fifteenth International Conference on Artificial Intelligence and Statistics, in PMLR 22:592-600

Related Material