UCB2Policy {contextual}R Documentation

Policy: UCB2

Description

UCB policy for bounded bandits with plays divided in epochs.

Details

UCB2Policy constructs an optimistic estimate in the form of an Upper Confidence Bound to create an estimate of the expected payoff of each action, and picks the action with the highest estimate. If the guess is wrong, the optimistic guess quickly decreases, till another action has the higher estimate.

Usage

policy <- UCB2Policy(alpha = 0.1)

Arguments

alpha

numeric; Tuning parameter in the interval (0,1)

Methods

new(alpha = 0.1)

Generates a new UCB2Policy object.

set_parameters()

each policy needs to assign the parameters it wants to keep track of to list self$theta_to_arms that has to be defined in set_parameters()'s body. The parameters defined here can later be accessed by arm index in the following way: theta[[index_of_arm]]$parameter_name

get_action(context)

here, a policy decides which arm to choose, based on the current values of its parameters and, potentially, the current context.

set_reward(reward, context)

in set_reward(reward, context), a policy updates its parameter values based on the reward received, and, potentially, the current context.

References

Auer, P., Cesa-Bianchi, N., & Fischer, P. (2002). Finite-time analysis of the multiarmed bandit problem. Machine learning, 47(2-3), 235-256.

See Also

Core contextual classes: Bandit, Policy, Simulator, Agent, History, Plot

Bandit subclass examples: BasicBernoulliBandit, ContextualLogitBandit, OfflineReplayEvaluatorBandit

Policy subclass examples: EpsilonGreedyPolicy, ContextualLinTSPolicy

Examples


horizon            <- 100L
simulations        <- 100L
weights          <- c(0.9, 0.1, 0.1)

policy             <- UCB2Policy$new()
bandit             <- BasicBernoulliBandit$new(weights = weights)
agent              <- Agent$new(policy, bandit)

history            <- Simulator$new(agent, horizon, simulations, do_parallel = FALSE)$run()

plot(history, type = "cumulative")

plot(history, type = "arms")

[Package contextual version 0.9.8.4 Index]