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In this paper, we propose and study opportunistic contextual bandits - a special case of contextual bandits where the exploration cost varies under different environmental conditions, such as network load or return variation in recommendations. When the exploration cost is low, so is the actual regret of pulling a sub-optimal arm (e.g., trying a suboptimal recommendation). Therefore, intuitively, we could explore more when the exploration cost is relatively low and exploit more when the exploration cost is relatively high. Inspired by this intuition, for opportunistic contextual bandits with Linear payoffs, we propose an Adaptive Upper-Confidence-Bound algorithm (AdaLinUCB) to adaptively balance the exploration-exploitation trade-off for opportunistic learning. We prove that AdaLinUCB achieves O((log T)^2) problem-dependent regret upper bound, which has a smaller coefficient than that of the traditional LinUCB algorithm. Moreover, based on both synthetic and real-world dataset, we show that AdaLinUCB significantly outperforms other contextual bandit algorithms, under large exploration cost fluctuations.
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Adaptive Exploration-Exploitation Tradeoff for Opportunistic Bandits
In this paper, we propose and study opportunistic bandits - a new variant of bandits where the regret of pulling a suboptimal arm varies under different environmental conditions, such as network load or produce price. When the load/price is low, so is the cost/regret of pulling a suboptimal arm (e.g., trying a suboptimal network configuration). Therefore, intuitively, we could explore more when the load/price is low and exploit more when the load/price is high. Inspired by this intuition, we propose an Adaptive Upper-Confidence-Bound (AdaUCB) algorithm to adaptively balance the exploration-exploitation tradeoff for opportunistic bandits. We prove that AdaUCB achieves O(log T) regret with a smaller coefficient than the traditional UCB algorithm. Furthermore, AdaUCB achieves O(1) regret with respect to T if the exploration cost is zero when the load level is below a certain threshold. Last, based on both synthetic data and real-world traces, experimental results show that AdaUCB significantly outperforms other bandit algorithms, such as UCB and TS (Thompson Sampling), under large load/price fluctuation.
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- PAR ID:
- 10072465
- Date Published:
- Journal Name:
- ICML 2018
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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