sisaman / SAU

Code for the NeurIPS 2021 paper "Deep Bandits Show-Off: Simple and Efficient Exploration with Deep Networkst"

SAU-Exploration

This is the project site for the paper

Rong Zhu and Mattia Rigotti, "Deep Bandits Show-Off: Simple and Efficient Exploration with Deep Networks", in Advances in Neural Information Processing Systems 34 (NeurIPS), Dec. 2021 [arXiv:2105.04683]

We introduce SAU-exploration, an exploration method for the bandit framework with strong theoretical guarantees in the Multi-Armed Bandit setting and very efficient implementation in the contextual bandit setting. In combination with a deep neural networks, SAU-exploration gives rise to a very simple and efficient deep contextual bandit algorithm that achieves higher rewards than state-of-the-art Bayesian algorithms like Neuaral Linear (a neural network with an exact linear posterior classifier introduced by [Riquelme et al., ICLR, 2018]), but is as fast as a neural network with -greedy exploration.

Requirements

• Python 3.6 or above
• PyTorch 1.6.0
• Numpy 1.19.1
• SciPy 1.5.2
• Matplotlib 3.3.4

These can be installed using pip by running:

>> pip install -r requirements.txt

Code usage

Let's look at a basic example of how to use the code (which you can execute with the jupyter notebook run_basic_example.ipynb in the repository. In this example we will use SAU-Neural-UCB (SAU-UCB combined with at Neural Network) to tackle the the Statlog bandit problem, a contextual bandit problem based on the Shuttle Statlog Dataset in the UCI machine learning repository:

BANDIT_NAME = "statlog"
AGENT_NAME = "sauneural_ucb"
TIME_STEPS = 1000

Let us import the functions to load pre-implemented contextual bandit problems and agents (learning algorithms), and the Deep Contextual Bandit Trainer (which includes the architecture):

from run_bandit_experiment import load_agent, load_bandit
from lgenrl import DCBTrainer

Let us now load the Statlog bandit (which will also download the dataset is it's not already present in the folder ~/data/statlog), load the SAU-Neural-UCB exploration algorithm, instantiated a trainer and use it to deploy the exploration algorithm:

bandit = load_bandit(BANDIT_NAME, download=True)
agent = load_agent(BANDIT_NAME, AGENT_NAME)

trainer = DCBTrainer(agent, bandit, logdir="./logs/example")
results = trainer.train(
    timesteps=TIME_STEPS, batch_size=64, update_after=20, update_interval=20, train_epochs=10
)

Started at 25-10-21 14:50:48
Training SAUNeuralAgent on StatlogDataBandit for 1000 timesteps
timestep    regret    reward    cumulative_regret  cumulative_reward  regret_moving_avg  reward_moving_avg
100         0         1         39                 61                 0.2                0.8
200         0         1         60                 140                0.2                0.8
300         0         1         62                 238                0.04               0.96
400         0         1         66                 334                0.02               0.98
500         0         1         68                 432                0.0                1.0
600         0         1         68                 532                0.0                1.0
700         0         1         69                 631                0.02               0.98
800         0         1         72                 728                0.04               0.96
900         0         1         73                 827                0.0                1.0
1000        0         1         74                 926                0.0                1.0
Training completed in 0 seconds
Final Regret Moving Average: 0.0 | Final Reward Moving Average: 1.0

Let us now finally look at the results by plotting the average reward (averaged over a moving window of 10 time steps) as a function of time step, and at the average regret:

import matplotlib.pyplot as plt

plt.subplot(2,1,1)
plt.title(f"Algorithm {AGENT_NAME} on {BANDIT_NAME} bandit", fontsize=14)

plt.plot(results['reward_moving_avgs'])
plt.ylabel('average reward', fontsize=14)
plt.xlabel('steps', fontsize=14)

plt.subplot(2,1,2)
plt.plot(results['regret_moving_avgs'])
plt.ylabel('average regret', fontsize=14)
plt.xlabel('steps', fontsize=14)

plt.tight_layout()
plt.show()

Paper results

The script run_bandit_experiment.py reproduces the main deep contextual bandit results of the paper:

>> python run_bandit_experiment.py --help

Usage: run_bandit_experiment.py [-h] [--agent AGENT] [--bandit BANDIT]
                                [--delta DELTA] [--run RUN]
                                [--experiment EXPERIMENT] [--use_cuda]
                                [--download]

Deep Contextual Bandit Experiments

optional arguments:
  -h, --help            show this help message and exit
  --agent AGENT         name of bandit algorithm (options: linear|neurallinear
                        |lineargreedy|neuralgreedy|saulinear_sampling|saulinea
                        r_ucb|sauneural_sampling|sauneural_ucb|uniform)
  --bandit BANDIT       name of bandit dataset (options: mushroom|statlog|cove
                        rtype|adult|financial|jester|census|wheel)
  --delta DELTA         delta parameter of the wheel bandit between 0.0 and
                        1.0 (it is ignored if bandit is not wheel)
  --run RUN             run number
  --experiment EXPERIMENT
                        tells program to run an experiment (starts from 1,
                        corresponding to a combination of bandit x agent x
                        run)
  --use_cuda            enables CUDA training
  --download            download datasets if missing