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Vector Optimization with Stochastic Bandit Feedback
Oct 23, 2021
We introduce vector optimization problems with stochastic bandit feedback, which extends the best arm identification problem to vector-valued rewards. We consider $K$ designs, with multi-dimensional mean reward vectors, which are partially ordered according to a polyhedral ordering cone $C$. This generalizes the concept of Pareto set in multi-objective optimization and allows different sets of preferences of decision-makers to be encoded by $C$. Different than prior work, we define approximations of the Pareto set based on direction-free covering and gap notions. We study the setting where an evaluation of each design yields a noisy observation of the mean reward vector. Under subgaussian noise assumption, we investigate the sample complexity of the na\"ive elimination algorithm in an ($\epsilon,\delta$)-PAC setting, where the goal is to identify an ($\epsilon,\delta$)-PAC Pareto set with the minimum number of design evaluations. In particular, we identify cone-dependent geometric conditions on the deviations of empirical reward vectors from their mean under which the Pareto front can be approximated accurately. We run experiments to verify our theoretical results and illustrate how $C$ and sampling budget affect the Pareto set, returned ($\epsilon,\delta$)-PAC Pareto set and the success of identification.
Pareto Active Learning with Gaussian Processes and Adaptive Discretization
Jun 24, 2020
We consider the problem of optimizing a vector-valued objective function $\boldsymbol{f}$ sampled from a Gaussian Process (GP) whose index set is a well-behaved, compact metric space $({\cal X},d)$ of designs. We assume that $\boldsymbol{f}$ is not known beforehand and that evaluating $\boldsymbol{f}$ at design $x$ results in a noisy observation of $\boldsymbol{f}(x)$. Since identifying the Pareto optimal designs via exhaustive search is infeasible when the cardinality of ${\cal X}$ is large, we propose an algorithm, called Adaptive $\boldsymbol{\epsilon}$-PAL, that exploits the smoothness of the GP-sampled function and the structure of $({\cal X},d)$ to learn fast. In essence, Adaptive $\boldsymbol{\epsilon}$-PAL employs a tree-based adaptive discretization technique to identify an $\boldsymbol{\epsilon}$-accurate Pareto set of designs in as few evaluations as possible. We provide both information-type and metric dimension-type bounds on the sample complexity of $\boldsymbol{\epsilon}$-accurate Pareto set identification. We also experimentally show that our algorithm outperforms other Pareto set identification methods on several benchmark datasets.