TY - GEN
T1 - Online Sign Identification
T2 - 35th Conference on Neural Information Processing Systems, NeurIPS 2021
AU - Ouhamma, Reda
AU - Degenne, Rémy
AU - Gaillard, Pierre
AU - Perchet, Vianney
N1 - Publisher Copyright:
© 2021 Neural information processing systems foundation. All rights reserved.
PY - 2021/1/1
Y1 - 2021/1/1
N2 - In the fixed budget thresholding bandit problem, an algorithm sequentially allocates a budgeted number of samples to different distributions. It then predicts whether the mean of each distribution is larger or lower than a given threshold. We introduce a large family of algorithms (containing most existing relevant ones), inspired by the Frank-Wolfe algorithm, and provide a thorough yet generic analysis of their performance. This allowed us to construct new explicit algorithms, for a broad class of problems, whose losses are within a small constant factor of the non-adaptive oracle ones. Quite interestingly, we observed that adaptive methods empirically greatly out-perform non-adaptive oracles, an uncommon behavior in standard online learning settings, such as regret minimization. We explain this surprising phenomenon on an insightful toy problem.
AB - In the fixed budget thresholding bandit problem, an algorithm sequentially allocates a budgeted number of samples to different distributions. It then predicts whether the mean of each distribution is larger or lower than a given threshold. We introduce a large family of algorithms (containing most existing relevant ones), inspired by the Frank-Wolfe algorithm, and provide a thorough yet generic analysis of their performance. This allowed us to construct new explicit algorithms, for a broad class of problems, whose losses are within a small constant factor of the non-adaptive oracle ones. Quite interestingly, we observed that adaptive methods empirically greatly out-perform non-adaptive oracles, an uncommon behavior in standard online learning settings, such as regret minimization. We explain this surprising phenomenon on an insightful toy problem.
M3 - Conference contribution
AN - SCOPUS:85132029289
T3 - Advances in Neural Information Processing Systems
SP - 18577
EP - 18589
BT - Advances in Neural Information Processing Systems 34 - 35th Conference on Neural Information Processing Systems, NeurIPS 2021
A2 - Ranzato, Marc'Aurelio
A2 - Beygelzimer, Alina
A2 - Dauphin, Yann
A2 - Liang, Percy S.
A2 - Wortman Vaughan, Jenn
PB - Neural information processing systems foundation
Y2 - 6 December 2021 through 14 December 2021
ER -