#' @export
LinUCBDisjointOptimizedPolicy <- R6::R6Class(
portable = FALSE,
class = FALSE,
inherit = Policy,
public = list(
alpha = NULL,
class_name = "LinUCBDisjointOptimizedPolicy",
initialize = function(alpha = 1.0) {
super$initialize()
self$alpha <- alpha
},
set_parameters = function(context_params) {
ul <- length(context_params$unique)
self$theta_to_arms <- list( 'A_inv' = diag(1, ul, ul), 'b' = rep(0, ul))
},
get_action = function(t, context) {
expected_rewards <- rep(0.0, context$k)
for (arm in 1:context$k) {
Xa <- get_arm_context(context, arm, context$unique)
A_inv <- self$theta$A_inv[[arm]]
b <- self$theta$b[[arm]]
theta_hat <- A_inv %*% b
mu_hat <- Xa %*% theta_hat
sigma_hat <- sqrt(tcrossprod(Xa %*% A_inv, Xa))
expected_rewards[arm] <- mu_hat + self$alpha * sigma_hat
}
action$choice <- which_max_tied(expected_rewards)
action
},
set_reward = function(t, context, action, reward) {
arm <- action$choice
reward <- reward$reward
Xa <- get_arm_context(context, arm, context$unique)
self$theta$A_inv[[arm]] <- sherman_morrisson(self$theta$A_inv[[arm]],Xa)
self$theta$b[[arm]] <- self$theta$b[[arm]] + reward * Xa
self$theta
}
)
)
#' Policy: LinUCB with unique linear models
#'
#' LinUCBDisjointOptimizedPolicy is an optimized R implementation of
#' "Algorithm 1 LinUCB" from Li (2010) "A contextual-bandit approach to
#' personalized news article recommendation.".
#'
#' Each time step t, \code{LinUCBDisjointPolicy} runs a linear regression per arm that produces coefficients
#' for each context feature \code{d}.
#' Next, \code{LinUCBDisjointPolicy} observes the new context, and generates a predicted payoff or reward
#' together with a confidence interval for each available arm. It then proceeds to choose the arm with the
#' highest upper confidence bound.
#'
#' @name LinUCBDisjointOptimizedPolicy
#'
#'
#' @section Usage:
#' \preformatted{
#' policy <- LinUCBDisjointOptimizedPolicy(alpha = 1.0)
#' }
#'
#' @section Arguments:
#'
#' \describe{
#' \item{\code{alpha}}{
#' double, a positive real value R+;
#' Hyper-parameter adjusting the balance between exploration and exploitation.
#' }
#' \item{\code{name}}{
#' character string specifying this policy. \code{name}
#' is, among others, saved to the History log and displayed in summaries and plots.
#' }
#' }
#'
#' @section Parameters:
#'
#' \describe{
#' \item{\code{A}}{
#' d*d identity matrix
#' }
#' \item{\code{b}}{
#' a zero vector of length d
#' }
#' }
#'
#' @section Methods:
#'
#' \describe{
#' \item{\code{new(alpha = 1)}}{ Generates a new \code{LinUCBDisjointOptimizedPolicy} object. Arguments are
#' defined in the Argument section above.}
#' }
#'
#' \describe{
#' \item{\code{set_parameters()}}{each policy needs to assign the parameters it wants to keep track of
#' to list \code{self$theta_to_arms} that has to be defined in \code{set_parameters()}'s body.
#' The parameters defined here can later be accessed by arm index in the following way:
#' \code{theta[[index_of_arm]]$parameter_name}
#' }
#' }
#'
#' \describe{
#' \item{\code{get_action(context)}}{
#' here, a policy decides which arm to choose, based on the current values
#' of its parameters and, potentially, the current context.
#' }
#' }
#'
#' \describe{
#' \item{\code{set_reward(reward, context)}}{
#' in \code{set_reward(reward, context)}, a policy updates its parameter values
#' based on the reward received, and, potentially, the current context.
#' }
#' }
#'
#' @references
#'
#' Li, L., Chu, W., Langford, J., & Schapire, R. E. (2010, April). A contextual-bandit approach to
#' personalized news article recommendation. In Proceedings of the 19th international conference on
#' World wide web (pp. 661-670). ACM.
#'
#' @seealso
#'
#' Core contextual classes: \code{\link{Bandit}}, \code{\link{Policy}}, \code{\link{Simulator}},
#' \code{\link{Agent}}, \code{\link{History}}, \code{\link{Plot}}
#'
#' Bandit subclass examples: \code{\link{BasicBernoulliBandit}}, \code{\link{ContextualLogitBandit}},
#' \code{\link{OfflineReplayEvaluatorBandit}}
#'
#' Policy subclass examples: \code{\link{EpsilonGreedyPolicy}}, \code{\link{ContextualLinTSPolicy}}
NULL
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