2013 Poster Sessions : Learning to Optimize via Posterior Sampling

Student Name : Daniel Russo
Advisor : Benjamin Van Roy
Research Areas: Information Systems
Abstract:
We consider the use of a simple posterior sampling algorithm to balance between exploration and exploitation when learning to optimize actions such as in multi-armed bandit problems. The algorithm, also known as Thompson Sampling and as probability matching, offers significant advantages over the popular upper confidence bound (UCB) approach, and can be applied to problems with finite or infinite action spaces and complicated relationships among action rewards. We make two theoretical contributions. The first establishes a connection between posterior sampling and UCB algorithms. This result lets us convert regret bounds developed for UCB algorithms into Bayes risk bounds for posterior sampling. Our second theoretical contribution is a Bayes risk bound for posterior sampling that applies broadly and can be specialized to many model classes. This bound depends on a new notion we refer to as the it margin dimension, which measures the degree of dependence among action rewards. Compared to UCB algorithm Bayes risk bounds for specific model classes, our general bound matches the best available for linear models and is stronger than the best available for generalized linear models. Further, our analysis provides insight into performance advantages of posterior sampling, which are highlighted through simulation results that demonstrate performance surpassing recently proposed UCB algorithms.

Bio:
Dan Russo is a second year PhD student working with Professor Ben Van Roy. He is the recipient of a Burt and Deedee McMurty Stanford Graduate Fellowship. He is interested in optimization under uncertainty, with a focus on efficient experimentation and learning.