Regulating greed over time
Speaker: Stefano Tracà, doctoral candidate, Massachusetts Institute of Technology, Cambridge, MA, USA.
Abstract: In retail, there are predictable yet dramatic time-dependent patterns in customer behavior, such as periodic changes in the number of visitors, or increases in visitors just before major holidays (e.g., Christmas). The current paradigm of multi-armed bandit analysis does not take these known patterns into account, which means that despite the firm theoretical foundation of these methods, they are fundamentally flawed when it comes to real applications. This work provides a remedy that takes the time-dependent patterns into account, and we show how this remedy is implemented in the UCB and ε-greedy methods. In the corrected methods, exploitation (greed) is regulated over time, so that more exploitation occurs during higher reward periods, and more exploration occurs in periods of low reward. In order to understand why regret is reduced with the corrected methods, we present a set of bounds that provide insight into why we would want to exploit during periods of high reward, and discuss the impact on regret. Our proposed methods have excellent performance in experiments, and were inspired by a high-scoring entry in the Exploration and Exploitation 3 contest using data from Yahoo! Front Page. That entry heavily used time-series methods to regulate greed over time, which was substantially more effective than other contextual bandit methods.