UCB Strategies and Optimization of Batch Processing in a One-Armed Bandit Problem

IF 0.5 4区 数学 Q3 MATHEMATICS
S. V. Garbar, A. V. Kolnogorov, A. N. Lazutchenko
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Abstract

We consider a Gaussian one-armed bandit problem, which arises when optimizing batch data processing if there are two alternative processing methods with a priori known efficiency of the first method. During processing, it is necessary to determine a more effective method and ensure its preferential use. This optimal control problem is interpreted as a game with nature. We investigate cases of known and a priori unknown variance of income corresponding to the second method. The control goal is considered in a minimax setting, and UCB strategies are used to ensure it. In all the studied cases, invariant descriptions of control on a horizon equal to one are obtained, which depend only on the number of batches into which the data is divided, but not on their full number. These descriptions allow us to determine approximately optimal parameters of strategies using Monte Carlo simulation. Numerical results show the high efficiency of the proposed UCB strategies.

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来源期刊
Doklady Mathematics
Doklady Mathematics 数学-数学
CiteScore
1.00
自引率
16.70%
发文量
39
审稿时长
3-6 weeks
期刊介绍: Doklady Mathematics is a journal of the Presidium of the Russian Academy of Sciences. It contains English translations of papers published in Doklady Akademii Nauk (Proceedings of the Russian Academy of Sciences), which was founded in 1933 and is published 36 times a year. Doklady Mathematics includes the materials from the following areas: mathematics, mathematical physics, computer science, control theory, and computers. It publishes brief scientific reports on previously unpublished significant new research in mathematics and its applications. The main contributors to the journal are Members of the RAS, Corresponding Members of the RAS, and scientists from the former Soviet Union and other foreign countries. Among the contributors are the outstanding Russian mathematicians.
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