HELLINGER-UCB: A novel algorithm for stochastic multi-armed bandit problem and cold start problem in recommender system
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Abstract (arXiv)
In this paper, we study the stochastic multi-armed bandit problem, where the reward is driven by an unknown random variable. We propose a new variant of the Upper Confidence Bound (UCB) algorithm called Hellinger-UCB, which leverages the squared Hellinger distance to build the upper confidence bound. We prove that the Hellinger-UCB reaches the theoretical lower bound. We also show that the Hellinger-UCB has a solid statistical interpretation. We show that Hellinger-UCB is effective in finite time horizons with numerical experiments between Hellinger-UCB and other variants of the UCB algorithm. As a real-world example, we apply the Hellinger-UCB algorithm to solve the cold-start problem for a content recommender system of a financial app. With reasonable assumption, the Hellinger-UCB algorithm has a convenient but important lower latency feature. The online experiment also illustrates that the Hellinger-UCB outperforms both KL-UCB and UCB1 in the sense of a higher click-through rate (CTR).
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References · 4
- 2013Learning to Optimize Via Posterior Samplingcited by 253
- 2017A minimax and asymptotically optimal algorithm for stochastic banditscited by 27
- 2017Stochastic Multi-armed Bandits in Constant Spacecited by 21
- 2018KL-UCB-switch: optimal regret bounds for stochastic bandits from both a distribution-dependent and a distribution-free viewpointscited by 20
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