Stay with me: Lifetime maximization through heteroscedastic linear bandits with reneging

Ping Chun Hsieh*, Xi Liu, Anirban Bhattacharya, P. R. Kumar

*Corresponding author for this work

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    Abstract

    Sequential decision making for lifetime maximization is a critical problem in many real-world applications, such as medical treatment and portfolio selection. In these applications, a "reneging" phenomenon, where participants may disengage from future interactions after observing an unsatisfiable outcome, is rather prevalent. To address the above issue, this paper proposes a model of heteroscedastic linear bandits with reneging, which allows each participant to have a distinct "satisfaction level," with any interaction outcome falling short of that level resulting in that participant reneging. Moreover, it allows the variance of the outcome to be context-dependent. Based on this model, we develop a UCB-type policy, namely HR-UCB, and prove that it achieves 0(vT(log(T))3) regret. Finally, we validate the performance of HR-UCB via simulations.

    Original languageEnglish
    Title of host publication36th International Conference on Machine Learning, ICML 2019
    PublisherInternational Machine Learning Society (IMLS)
    Pages4957-4966
    Number of pages10
    ISBN (Electronic)9781510886988
    StatePublished - 1 Jan 2019
    Event36th International Conference on Machine Learning, ICML 2019 - Long Beach, United States
    Duration: 9 Jun 201915 Jun 2019

    Publication series

    Name36th International Conference on Machine Learning, ICML 2019
    Volume2019-June

    Conference

    Conference36th International Conference on Machine Learning, ICML 2019
    Country/TerritoryUnited States
    CityLong Beach
    Period9/06/1915/06/19

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