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Online Multi-Armed Bandits with Adaptive Inference

NeurIPS 2021 · Bandits and online learning › Multi-armed bandits · approach: Non-stationary and structured-reward bandits · 13 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
replace sample-mean Thompson sampling estimate with adaptively weighted doubly robust estimator (DATS)TS-Normal · Synthetic domains, K=5..50average regretHelped
replace sample-mean Thompson sampling estimate with DATS estimatorTS-Normal · Synthetic domains, K=5..50stopping time for best-arm identificationMixed
DATS vs TS and UCB on A/B-test-based banditTS-Normal / UCB-Normal · Semi-synthetic A/B test, K=6cumulative regretHelped
use unbiased IPW estimator instead of sample mean in TS (no adaptive weights)TS-Normal · Semi-synthetic A/B test, K=6cumulative regretHurt
use plain doubly robust estimator instead of sample mean in TSTS-Normal · Semi-synthetic A/B test, K=6cumulative regretHurt
add variance-stabilizing adaptive weights to doubly robust estimator (DATS vs TS-DR) (ablation)TS-DR · Semi-synthetic A/B test, K=6cumulative regretHelped
use propensity clipping instead of arm elimination plus uniform exploration (ablation)DATS · Synthetic domainsregret and stopping timeNo clear effect
vary uniform-exploration gamma (0.01, 0.05, 0.1) for DATS (ablation)DATS · Semi-synthetic low SNRcumulative regretNo clear effect
tune gamma for TS-IPW and TS-DR (ablation)TS-IPW / TS-DR · Semi-synthetic low SNRcumulative regretHelped

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