Vector Optimization with Stochastic Bandit Feedback
Abstract
We introduce vector optimization problems with stochastic bandit feedback, in which preferences among designs are encoded by a polyhedral ordering cone . Our setup generalizes the best arm identification problem to vector-valued rewards by extending the concept of Pareto set beyond multi-objective optimization. We characterize the sample complexity of ()-PAC Pareto set identification by defining a new cone-dependent notion of complexity, called the ordering complexity. In particular, we provide gap-dependent and worst-case lower bounds on the sample complexity and show that, in the worst-case, the sample complexity scales with the square of ordering complexity. Furthermore, we investigate the sample complexity of the na\"ive elimination algorithm and prove that it nearly matches the worst-case sample complexity. Finally, we run experiments to verify our theoretical results and illustrate how and sampling budget affect the Pareto set, the returned ()-PAC Pareto set, and the success of identification.
Cite
@article{arxiv.2110.12311,
title = {Vector Optimization with Stochastic Bandit Feedback},
author = {Çağın Ararat and Cem Tekin},
journal= {arXiv preprint arXiv:2110.12311},
year = {2023}
}
Comments
26 pages, 3 tables, 2 figure; Proceedings of the 26th International Conference on Artificial Intelligence and Statistics (AISTATS) 2023, Valencia, Spain