Bayesian Analysis of Combinatorial Gaussian Process Bandits
Keywords: Multi-armed bandits, Combinatorial bandits, Contextual bandits, Gaussian processes, Energy-efficient navigation
TL;DR: We present novel Bayesian regret bounds for GP-UCB, GP-BayesUCB and GP-TS for the combinatorial volatile Gaussian process semi-bandit problem and study the application of online energy-efficient navigation.
Abstract: We consider the combinatorial volatile Gaussian process (GP) semi-bandit problem. Each round, an agent is provided a set of available base arms and must select a subset of them to maximize the long-term cumulative reward. We study the Bayesian setting and provide novel Bayesian cumulative regret bounds for three GP-based algorithms: GP-UCB, GP-BayesUCB and GP-TS. Our bounds extend previous results for GP-UCB and GP-TS to the \emph{infinite}, \emph{volatile} and \emph{combinatorial} setting, and to the best of our knowledge, we provide the first regret bound for GP-BayesUCB. Volatile arms encompass other widely considered bandit problems such as contextual bandits.
Furthermore, we employ our framework to address the challenging real-world problem of online energy-efficient navigation, where we demonstrate its effectiveness compared to the alternatives.
Primary Area: reinforcement learning
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Submission Number: 354
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