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Joint Online Learning and Decision-making via Dual Mirror Descent

ICML 2021 · Bandits and online learning › Online convex optimization and games · approach: Online allocation with constraints · 1 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use Thompson Sampling instead of least squares when revenue and contexts have no added randomnessDual Mirror Descent parameter-learning step · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.0,0.0)relative average revenue (%): 43.2 -> 98.1Helped
Use Thompson Sampling with added revenue noiseDual Mirror Descent parameter-learning step · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.5,0.0)relative average revenue (%): 98.1 -> 2.3Hurt
Use Thompson Sampling rather than least squares when revenue noise is (0.1,0.0)Dual Mirror Descent parameter-learning step · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.1,0.0)relative average revenue (%): 51.2 -> 13.2Hurt
Add randomized perturbation to ridge regression when contexts are deterministic and revenue noise is (0.0,0.0)Ridge regression parameter learner · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.0,0.0)relative average revenue (%): 44.9 -> 59.3Helped
Add randomized perturbation to ridge regression when contexts are deterministic and revenue noise is (0.1,0.0)Ridge regression parameter learner · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.1,0.0)relative average revenue (%): 52.9 -> 63.2Helped
Add randomized perturbation to ridge regression when contexts are deterministic and revenue noise is (0.5,0.0)Ridge regression parameter learner · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.5,0.0)relative average revenue (%): 65.0 -> 67.7Helped
Add randomized perturbation to ridge regression when contexts have randomness (0.1)Ridge regression parameter learner · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.0,0.1)relative average revenue (%): 95.6 -> 95.5No clear effect
Add randomized perturbation to ridge regression when revenue noise is (0.1,0.1)Ridge regression parameter learner · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.1,0.1)relative average revenue (%): 94.5 -> 94.4No clear effect
Add randomized perturbation to ridge regression when revenue noise is (0.5,0.1)Ridge regression parameter learner · Linear contextual bandits, T = 10000, (d × n) = (50,50), (0.5,0.1)relative average revenue (%): 84.9 -> 85.2No clear effect
Use least squares with randomness added to contexts rather than deterministic contextsDual Mirror Descent parameter-learning step · Linear contextual bandits, T = 10000, (d × n) = (50,50), revenue noise (0.0)relative average revenue (%): 43.2 -> 91.4Helped
Use ridge regression with randomness added to contexts rather than deterministic contextsDual Mirror Descent parameter-learning step · Linear contextual bandits, T = 10000, (d × n) = (50,50), revenue noise (0.0)relative average revenue (%): 44.9 -> 95.6Helped

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