Online Stochastic Optimization under Correlated Bandit Feedback

Mohammad Gheshlaghi azar, Alessandro Lazaric, Emma Brunskill
; Proceedings of the 31st International Conference on Machine Learning, PMLR 32(2):1557-1565, 2014.

Abstract

In this paper we consider the problem of online stochastic optimization of a locally smooth function under bandit feedback. We introduce the high-confidence tree (HCT) algorithm, a novel anytime \mathcal X-armed bandit algorithm, and derive regret bounds matching the performance of state-of-the-art algorithms in terms of the dependency on number of steps and the near-optimality dimension. The main advantage of HCT is that it handles the challenging case of correlated bandit feedback (reward), whereas existing methods require rewards to be conditionally independent. HCT also improves on the state-of-the-art in terms of the memory requirement, as well as requiring a weaker smoothness assumption on the mean-reward function in comparison with the existing anytime algorithms. Finally, we discuss how HCT can be applied to the problem of policy search in reinforcement learning and we report preliminary empirical results.

Cite this Paper


BibTeX
@InProceedings{pmlr-v32-azar14, title = {Online Stochastic Optimization under Correlated Bandit Feedback}, author = {Mohammad Gheshlaghi azar and Alessandro Lazaric and Emma Brunskill}, booktitle = {Proceedings of the 31st International Conference on Machine Learning}, pages = {1557--1565}, year = {2014}, editor = {Eric P. Xing and Tony Jebara}, volume = {32}, number = {2}, series = {Proceedings of Machine Learning Research}, address = {Bejing, China}, month = {22--24 Jun}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v32/azar14.pdf}, url = {http://proceedings.mlr.press/v32/azar14.html}, abstract = {In this paper we consider the problem of online stochastic optimization of a locally smooth function under bandit feedback. We introduce the high-confidence tree (HCT) algorithm, a novel anytime \mathcal X-armed bandit algorithm, and derive regret bounds matching the performance of state-of-the-art algorithms in terms of the dependency on number of steps and the near-optimality dimension. The main advantage of HCT is that it handles the challenging case of correlated bandit feedback (reward), whereas existing methods require rewards to be conditionally independent. HCT also improves on the state-of-the-art in terms of the memory requirement, as well as requiring a weaker smoothness assumption on the mean-reward function in comparison with the existing anytime algorithms. Finally, we discuss how HCT can be applied to the problem of policy search in reinforcement learning and we report preliminary empirical results.} }
Endnote
%0 Conference Paper %T Online Stochastic Optimization under Correlated Bandit Feedback %A Mohammad Gheshlaghi azar %A Alessandro Lazaric %A Emma Brunskill %B Proceedings of the 31st International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2014 %E Eric P. Xing %E Tony Jebara %F pmlr-v32-azar14 %I PMLR %J Proceedings of Machine Learning Research %P 1557--1565 %U http://proceedings.mlr.press %V 32 %N 2 %W PMLR %X In this paper we consider the problem of online stochastic optimization of a locally smooth function under bandit feedback. We introduce the high-confidence tree (HCT) algorithm, a novel anytime \mathcal X-armed bandit algorithm, and derive regret bounds matching the performance of state-of-the-art algorithms in terms of the dependency on number of steps and the near-optimality dimension. The main advantage of HCT is that it handles the challenging case of correlated bandit feedback (reward), whereas existing methods require rewards to be conditionally independent. HCT also improves on the state-of-the-art in terms of the memory requirement, as well as requiring a weaker smoothness assumption on the mean-reward function in comparison with the existing anytime algorithms. Finally, we discuss how HCT can be applied to the problem of policy search in reinforcement learning and we report preliminary empirical results.
RIS
TY - CPAPER TI - Online Stochastic Optimization under Correlated Bandit Feedback AU - Mohammad Gheshlaghi azar AU - Alessandro Lazaric AU - Emma Brunskill BT - Proceedings of the 31st International Conference on Machine Learning PY - 2014/01/27 DA - 2014/01/27 ED - Eric P. Xing ED - Tony Jebara ID - pmlr-v32-azar14 PB - PMLR SP - 1557 DP - PMLR EP - 1565 L1 - http://proceedings.mlr.press/v32/azar14.pdf UR - http://proceedings.mlr.press/v32/azar14.html AB - In this paper we consider the problem of online stochastic optimization of a locally smooth function under bandit feedback. We introduce the high-confidence tree (HCT) algorithm, a novel anytime \mathcal X-armed bandit algorithm, and derive regret bounds matching the performance of state-of-the-art algorithms in terms of the dependency on number of steps and the near-optimality dimension. The main advantage of HCT is that it handles the challenging case of correlated bandit feedback (reward), whereas existing methods require rewards to be conditionally independent. HCT also improves on the state-of-the-art in terms of the memory requirement, as well as requiring a weaker smoothness assumption on the mean-reward function in comparison with the existing anytime algorithms. Finally, we discuss how HCT can be applied to the problem of policy search in reinforcement learning and we report preliminary empirical results. ER -
APA
azar, M.G., Lazaric, A. & Brunskill, E.. (2014). Online Stochastic Optimization under Correlated Bandit Feedback. Proceedings of the 31st International Conference on Machine Learning, in PMLR 32(2):1557-1565

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