Some illustrations for this project

Here are some plots illustrating the performances of the different policies implemented in this project, against various problems (with Bernoulli arms only):

Histogram of regrets at the end of some simulations

On a simple Bernoulli problem, we can compare 16 different algorithms (on a short horizon and a small number of repetitions, just as an example). If we plot the distribution of the regret at the end of each experiment, R_T, we can see this kind of plot:


It helps a lot to see both the mean value (in solid black) of the regret, and its distribution of a few runs (100 here). It can be used to detect algorithms that perform well in average, but sometimes with really bad runs. Here, the Exp3++ seems to had one bad run.

Demonstration of different Aggregation policies

On a fixed Gaussian problem, aggregating some algorithms tuned for this exponential family (ie, they know the variance but not the means). Our algorithm, Aggregator, outperforms its ancestor Exp4 as well as the other state-of-the-art experts aggregation algorithms, CORRAL and LearnExp.


Demonstration of multi-player algorithms

Regret plot on a random Bernoulli problem, with M=6 players accessing independently and in a decentralized way K=9 arms. Our algorithms (RandTopM and MCTopM, as well as Selfish) outperform the state-of-the-art rhoRand:


Histogram on the same random Bernoulli problems. We see that some all algorithms have a non-negligible variance on their regrets.


Comparison with two other “state-of-the-art” algorithms (MusicalChair and MEGA, in semilogy scale to really see the different scale of regret between efficient and sub-optimal algorithms):


Other illustrations

Piece-wise stationary problems

Comparing Sliding-Window UCB and Discounted UCB and UCB, on a simple Bernoulli problem which regular random shuffling of the arm.


Sparse problem and Sparsity-aware algorithms

Comparing regular UCB, klUCB and Thompson sampling against “sparse-aware” versions, on a simple Gaussian problem with K=10 arms but only s=4 with non-zero mean.


Demonstration of the Doubling Trick policy

  • On a fixed problem with full restart: main____env1-1_3633169128724378553.png

  • On a fixed problem with no restart: main____env1-1_5972568793654673752.png

  • On random problems with full restart: main____env1-1_1217677871459230631.png

  • On random problems with no restart: main____env1-1_5964629015089571121.png

Plots for the JMLR MLOSS paper

In the JMLR MLOSS paper I wrote to present SMPyBandits, an example of a simulation is presented, where we compare the standard anytime klUCB algorithm against the non-anytime variant klUCBPlusPlus algorithm, and also UCB (with (\alpha=1)) and Thompson (with Beta posterior).

configuration["policies"] = [
  { "archtype": klUCB, "params": { "klucb": klucbBern } },
  { "archtype": klUCBPlusPlus, "params": { "horizon": HORIZON, "klucb": klucbBern } },
  { "archtype": UCBalpha, "params": { "alpha": 1 } },
  { "archtype": Thompson, "params": { "posterior": Beta } }

Running this simulation as shown below will save figures in a sub-folder, as well as save data (pulls, rewards and regret) in HDF5 files.

# 3. run a single-player simulation
$ BAYES=False ARM_TYPE=Bernoulli N=1000 T=10000 K=9 N_JOBS=4 \
  MEANS=[0.1,0.2,0.3,0.4,0.5,0.6,0.7,0.8,0.9] python3

The two plots below shows the average regret for these 4 algorithms. The regret is the difference between the cumulated rewards of the best fixed-armed strategy (which is the oracle strategy for stationary bandits), and the cumulated rewards of the considered algorithms.

  • Average regret: paper/3.png

  • Histogram of regrets: paper/3_hist.png

Example of a single-player simulation showing the average regret and histogram of regrets of 4 algorithms. They all perform very well: each algorithm is known to be order-optimal (i.e., its regret is proved to match the lower-bound up-to a constant), and each but UCB is known to be optimal (i.e. with the constant matching the lower-bound). For instance, Thomson sampling is very efficient in average (in yellow), and UCB shows a larger variance (in red).

Saving simulation data to HDF5 file

This simulation produces this example HDF5 file, which contains attributes (e.g., horizon=10000, repetitions=1000, nbPolicies=4), and a collection of different datasets for each environment. Only one environment was tested, and for env_0 the HDF5 stores some attributes (e.g., nbArms=9 and means=[0.1,0.2,0.3,0.4,0.5,0.6,0.7,0.8,0.9]) and datasets (e.g., bestArmPulls of shape (4, 10000), cumulatedRegret of shape (4, 10000), lastRegrets of shape (4, 1000), averageRewards of shape (4, 10000)). See the example:

Note: HDFCompass is recommended to explore the file from a nice and easy to use GUI. Or use it from a Python script with h5py or a Julia script with HDF5.jl. Example of exploring this 'example.hdf5' file using HDFCompass

Graph of time and memory consumptions

Time consumption

Note that I had added a very clean support for time consumption measures, every simulation script will output (as the end) some lines looking like this:

Giving the mean and std running times ...
For policy #0 called 'UCB($\alpha=1$)' ...
    84.3 ms ± 7.54 ms per loop (mean ± std. dev. of 10 runs)
For policy #1 called 'Thompson' ...
    89.6 ms ± 17.7 ms per loop (mean ± std. dev. of 10 runs)
For policy #3 called 'kl-UCB$^{++}$($T=1000$)' ...
    2.52 s ± 29.3 ms per loop (mean ± std. dev. of 10 runs)
For policy #2 called 'kl-UCB' ...
    2.59 s ± 284 ms per loop (mean ± std. dev. of 10 runs)


Memory consumption

Note that I had added an experimental support for time consumption measures, every simulation script will output (as the end) some lines looking like this:

Giving the mean and std memory consumption ...
For players called '3 x RhoRand-kl-UCB, rank:1' ...
    23.6 KiB ± 52 B (mean ± std. dev. of 10 runs)
For players called '3 x RandTopM-kl-UCB' ...
    1.1 KiB ± 0 B (mean ± std. dev. of 10 runs)
For players called '3 x Selfish-kl-UCB' ...
    12 B ± 0 B (mean ± std. dev. of 10 runs)
For players called '3 x MCTopM-kl-UCB' ...
    4.9 KiB ± 86 B (mean ± std. dev. of 10 runs)
For players called '3 x MCNoSensing($M=3$, $T=1000$)' ...
    12 B ± 0 B (mean ± std. dev. of 10 runs)


It is still experimental!

📜 License ? GitHub license

MIT Licensed (file LICENSE).

© 2016-2018 Lilian Besson.

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