Stochastically constrained best arm identification with Thompson sampling

IF 4.8 2区计算机科学 Q1 AUTOMATION & CONTROL SYSTEMS

Automatica Pub Date : 2025-02-28 DOI:10.1016/j.automatica.2025.112223

Le Yang , Siyang Gao , Cheng Li , Yi Wang

引用次数: 0

Abstract

We consider the problem of the best arm identification in the presence of stochastic constraints, where there is a finite number of arms associated with multiple performance measures. The goal is to identify the arm that optimizes the objective measure subject to constraints on the remaining measures. We will explore the popular idea of Thompson sampling (TS) as a means to solve it. To the best of our knowledge, it is the first attempt to extend TS to this problem. We will design a TS-based sampling algorithm, establish its asymptotic optimality in the rate of posterior convergence, and demonstrate its superior performance using numerical examples.

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随机约束的汤普森抽样最佳臂识别

我们考虑了随机约束下的最佳臂识别问题，其中有有限数量的臂与多个性能度量相关联。目标是确定在剩余度量约束下优化客观度量的臂。我们将探讨流行的汤普森抽样（TS）的想法作为一种手段来解决它。据我们所知，这是第一次尝试将TS扩展到这个问题。我们将设计一种基于ts的采样算法，建立其后验收敛速度的渐近最优性，并通过数值例子证明其优越的性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Automatica 工程技术-工程：电子与电气

CiteScore

10.70

自引率

7.80%

发文量

617

审稿时长

5 months

期刊介绍： Automatica is a leading archival publication in the field of systems and control. The field encompasses today a broad set of areas and topics, and is thriving not only within itself but also in terms of its impact on other fields, such as communications, computers, biology, energy and economics. Since its inception in 1963, Automatica has kept abreast with the evolution of the field over the years, and has emerged as a leading publication driving the trends in the field. After being founded in 1963, Automatica became a journal of the International Federation of Automatic Control (IFAC) in 1969. It features a characteristic blend of theoretical and applied papers of archival, lasting value, reporting cutting edge research results by authors across the globe. It features articles in distinct categories, including regular, brief and survey papers, technical communiqués, correspondence items, as well as reviews on published books of interest to the readership. It occasionally publishes special issues on emerging new topics or established mature topics of interest to a broad audience. Automatica solicits original high-quality contributions in all the categories listed above, and in all areas of systems and control interpreted in a broad sense and evolving constantly. They may be submitted directly to a subject editor or to the Editor-in-Chief if not sure about the subject area. Editorial procedures in place assure careful, fair, and prompt handling of all submitted articles. Accepted papers appear in the journal in the shortest time feasible given production time constraints.