Exp3Policy: Policy: Exp3

In robinvanemden/contextual: Simulation and Analysis of Contextual Multi-Armed Bandit Policies

Description

In Exp3Policy, "Exp3" stands for "Exponential-weight algorithm for Exploration and Exploitation". It makes use of a distribution over probabilities that is is a mixture of a uniform distribution and a distribution which assigns to each action a probability mass exponential in the estimated cumulative reward for that action.

Usage

policy <- Exp3Policy(gamma = 0.1)

Arguments

gamma

double, value in the closed interval (0,1], controls the exploration - often referred to as the learning rate

name

character string specifying this policy. name is, among others, saved to the History log and displayed in summaries and plots.

Methods

new(gamma = 0.1)

Generates a new Exp3Policy object. Arguments are defined in the Argument section above.

set_parameters()

each policy needs to assign the parameters it wants to keep track of to list self$theta_to_arms that has to be defined in set_parameters()'s body. The parameters defined here can later be accessed by arm index in the following way: theta[[index_of_arm]]$parameter_name

get_action(context)

here, a policy decides which arm to choose, based on the current values of its parameters and, potentially, the current context.

set_reward(reward, context)

in set_reward(reward, context), a policy updates its parameter values based on the reward received, and, potentially, the current context.

References

Auer, P., Cesa-Bianchi, N., Freund, Y., & Schapire, R. E. (2002). The nonstochastic multi-armed bandit problem. SIAM journal on computing, 32(1), 48-77. Strehl, A., & Littman, M. (2004). Exploration via model based interval estimation. In International Conference on Machine Learning, number Icml.

Strehl, A., & Littman, M. (2004). Exploration via model based interval estimation. In International Conference on Machine Learning, number Icml.

See Also

Core contextual classes: Bandit, Policy, Simulator, Agent, History, Plot

Bandit subclass examples: BasicBernoulliBandit, ContextualLogitBandit, OfflineReplayEvaluatorBandit

Policy subclass examples: EpsilonGreedyPolicy, ContextualLinTSPolicy

Examples

horizon            <- 100L
simulations        <- 100L
weights          <- c(0.9, 0.1, 0.1)

policy             <- Exp3Policy$new(gamma = 0.1)
bandit             <- BasicBernoulliBandit$new(weights = weights)
agent              <- Agent$new(policy, bandit)

history            <- Simulator$new(agent, horizon, simulations, do_parallel = FALSE)$run()

plot(history, type = "cumulative")

plot(history, type = "arms")

robinvanemden/contextual documentation built on Aug. 12, 2019, 9:30 p.m.