Collaborative Pure Exploration in Kernel Bandit

Yihan Du, Wei Chen, Yuko Kuroki, Longbo Huang

Keywords: Collaborative Pure Exploration (CoPE), kernel bandit, multi-agent bandit, multi-task learning, communication round

Abstract: In this paper, we propose a novel Collaborative Pure Exploration in Kernel Bandit model (CoPE-KB), where multiple agents collaborate to complete different but related tasks with limited communication. Our model generalizes prior CoPE formulation with the single-task and classic MAB setting to allow multiple tasks and general reward structures. We propose a novel communication scheme with an efficient kernelized estimator, and design optimal algorithms CoKernelFC and CoKernelFB for CoPE-KB with fixed-confidence and fixed-budget objectives, respectively. Nearly matching upper and lower bounds in both sampling and communication complexity are established to demonstrate the optimality of our algorithms. Our theoretical results explicitly quantify how task similarities influence learning speedup, and only depend on the effective dimension of feature space. Our novel techniques including an efficient kernelized estimator and linear structured instance transformation, which overcome the communication difficulty in high-dimensional feature space and derive communication round lower bounds, can be of independent interests.

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