Satisficing Regret Minimization in Bandits
Keywords: Online learning, Bandits, Satisficing
TL;DR: We propose SELECT, a general algorithm that informs satisficing decision-making with constant loss, for a wide variety of multi-armed bandit problems.
Abstract: Motivated by the concept of satisficing in decision-making, we consider the problem of satisficing exploration in bandit optimization. In this setting, the learner aims at finding a satisficing arm whose mean reward exceeds a certain threshold. The performance is measured by satisficing regret, which is the cumulative deficit of the chosen arm's mean reward compared to the threshold. We propose $\texttt{SELECT}$, a general algorithmic template for Satisficing REgret Minimization via SampLing and LowEr Confidence bound Testing, that attains constant satisficing regret for a wide variety of bandit optimization problems in the realizable case (i.e., whenever a satisficing arm exists). Specifically, given a class of bandit optimization problems and a corresponding learning oracle with sub-linear (standard) regret upper bound, $\texttt{SELECT}$ iteratively makes use of the oracle to identify a potential satisficing arm. Then, it collects data samples from this arm, and continuously compares the lower confidence bound of the identified arm's mean reward against the threshold value to determine if it is a satisficing arm. As a complement, $\texttt{SELECT}$ also enjoys the same (standard) regret guarantee as the oracle in the non-realizable case. Finally, we conduct numerical experiments to validate the performance of $\texttt{SELECT}$ for several popular bandit optimization settings.
Supplementary Material: zip
Primary Area: learning theory
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Submission Number: 5048
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