Detailed Description

methods for bandit algorithms

Epsilon greedy

Epsilon greedy is a randomized algorithm for the multi-armed bandit problem.

In every iteration, it either selects an action uniformly at random with probability $\varepsilon_t$ or it greedily exploits the best action seen so far with probability $1 - \varepsilon_t$ . In this implementation, $\varepsilon_t$ decreases over time (number of selections performed), controlled by the epsilon parameter.

Exp.3

Exp.3 is a randomized selection method for the multi-armed bandit problem

Exp3 maintains a probability distribution according to which an action is drawn in every iteration. The probability distribution is a mixture between a uniform distribution and a softmax distribution based on the cumulative rewards of the actions. The weight of the uniform distribution in the mixture is controlled by the parameter $\gamma$ , ie., setting $\gamma = 1$ uses a uniform distribution in every selection step. The cumulative reward for the actions can be fine-tuned by adding a general bias for all actions. The bias is given by the parameter $\beta$ .

Upper Confidence Bounds (UCB)

UCB (Upper confidence bounds) is a deterministic selection algorithm for the multi-armed bandit problem. In every iteration, UCB selects the action that maximizes a tradeoff between its performance in the past and a variance term. The influence of the variance (confidence width) can be controlled by the parameter $\alpha$ .

Functions
SCIP_RETCODE	SCIPbanditSelect (SCIP_BANDIT bandit, int action)

SCIP_RETCODE	SCIPbanditUpdate (SCIP_BANDIT *bandit, int action, SCIP_Real score)

const char *	SCIPbanditvtableGetName (SCIP_BANDITVTABLE *banditvtable)

SCIP_RANDNUMGEN *	SCIPbanditGetRandnumgen (SCIP_BANDIT *bandit)

int	SCIPbanditGetNActions (SCIP_BANDIT *bandit)

SCIP_RETCODE	SCIPcreateBanditEpsgreedy (SCIP scip, SCIP_BANDIT epsgreedy, SCIP_Real priorities, SCIP_Real eps, int nactions, unsigned int initseed)

SCIP_Real *	SCIPgetWeightsEpsgreedy (SCIP_BANDIT *epsgreedy)

void	SCIPsetEpsilonEpsgreedy (SCIP_BANDIT *epsgreedy, SCIP_Real eps)

SCIP_RETCODE	SCIPcreateBanditExp3 (SCIP scip, SCIP_BANDIT exp3, SCIP_Real priorities, SCIP_Real gammaparam, SCIP_Real beta, int nactions, unsigned int initseed)

void	SCIPsetGammaExp3 (SCIP_BANDIT *exp3, SCIP_Real gammaparam)

void	SCIPsetBetaExp3 (SCIP_BANDIT *exp3, SCIP_Real beta)

SCIP_Real	SCIPgetProbabilityExp3 (SCIP_BANDIT *exp3, int action)

SCIP_RETCODE	SCIPcreateBanditUcb (SCIP scip, SCIP_BANDIT ucb, SCIP_Real priorities, SCIP_Real alpha, int nactions, unsigned int initseed)

SCIP_Real	SCIPgetConfidenceBoundUcb (SCIP_BANDIT *ucb, int action)

int *	SCIPgetStartPermutationUcb (SCIP_BANDIT *ucb)

Files
file	pub_bandit.h
	public methods for bandit algorithms

file	pub_bandit_epsgreedy.h
	public methods for the epsilon greedy bandit selector

file	pub_bandit_exp3.h
	public methods for Exp.3

file	pub_bandit_ucb.h
	public methods for UCB bandit selection

Function Documentation

◆ SCIPbanditSelect()

SCIP_RETCODE SCIPbanditSelect	(	SCIP_BANDIT *	bandit,
		int *	action
	)

select the next action

Parameters

bandit	bandit algorithm data structure
action	pointer to store the selected action

Definition at line 143 of file bandit.c.

References SCIP_CALL, SCIP_OKAY, SCIPbanditGetNActions(), and SCIP_Bandit::vtable.

Referenced by selectNeighborhood().

◆ SCIPbanditUpdate()

SCIP_RETCODE SCIPbanditUpdate	(	SCIP_BANDIT *	bandit,
		int	action,
		SCIP_Real	score
	)

update the score of the selected action

Parameters

bandit	bandit algorithm data structure
action	index of action for which the score should be updated
score	observed gain of the i'th action

Definition at line 164 of file bandit.c.

References SCIP_CALL, SCIP_OKAY, SCIPbanditGetNActions(), and SCIP_Bandit::vtable.

Referenced by updateBanditAlgorithms().

◆ SCIPbanditvtableGetName()

const char* SCIPbanditvtableGetName ( SCIP_BANDITVTABLE * banditvtable )

return the name of this bandit virtual function table

Parameters

banditvtable virtual table for bandit algorithm

Definition at line 244 of file bandit.c.

References SCIP_BanditVTable::name.

Referenced by SCIPsetSortProps().

◆ SCIPbanditGetRandnumgen()

SCIP_RANDNUMGEN* SCIPbanditGetRandnumgen ( SCIP_BANDIT * bandit )

return the random number generator of a bandit algorithm

Parameters

bandit bandit algorithm data structure

Definition at line 255 of file bandit.c.

References SCIP_Bandit::rng.

Referenced by alnsFixMoreVariables(), alnsUnfixVariables(), dataReset(), and SCIP_DECL_BANDITSELECT().

◆ SCIPbanditGetNActions()

int SCIPbanditGetNActions ( SCIP_BANDIT * bandit )

return number of actions of this bandit algorithm

Parameters

bandit bandit algorithm data structure

Definition at line 265 of file bandit.c.

References SCIP_Bandit::nactions.

Referenced by SCIP_DECL_BANDITFREE(), SCIP_DECL_BANDITRESET(), SCIP_DECL_BANDITSELECT(), SCIP_DECL_BANDITUPDATE(), SCIP_DECL_HEURINITSOL(), SCIPbanditReset(), SCIPbanditSelect(), SCIPbanditUpdate(), SCIPgetConfidenceBoundUcb(), and SCIPgetProbabilityExp3().

◆ SCIPcreateBanditEpsgreedy()

SCIP_RETCODE SCIPcreateBanditEpsgreedy	(	SCIP *	scip,
		SCIP_BANDIT **	epsgreedy,
		SCIP_Real *	priorities,
		SCIP_Real	eps,
		int	nactions,
		unsigned int	initseed
	)

create and resets an epsilon greedy bandit algorithm

Parameters

scip	SCIP data structure
epsgreedy	pointer to store the epsilon greedy bandit algorithm
priorities	nonnegative priorities for each action, or NULL if not needed
eps	parameter to increase probability for exploration between all actions
nactions	the positive number of possible actions
initseed	initial seed for random number generation

Definition at line 235 of file bandit_epsgreedy.c.

References BANDIT_NAME, SCIP_CALL, SCIP_INVALIDDATA, SCIP_OKAY, SCIPbanditCreateEpsgreedy(), SCIPblkmem(), SCIPbuffer(), SCIPerrorMessage, SCIPfindBanditvtable(), and SCIPinitializeRandomSeed().

Referenced by createBandit().

◆ SCIPgetWeightsEpsgreedy()

SCIP_Real* SCIPgetWeightsEpsgreedy ( SCIP_BANDIT * epsgreedy )

get weights array of epsilon greedy bandit algorithm

Parameters

epsgreedy epsilon greedy bandit algorithm

Definition at line 262 of file bandit_epsgreedy.c.

References SCIPbanditGetData().

Referenced by printNeighborhoodStatistics().

◆ SCIPsetEpsilonEpsgreedy()

void SCIPsetEpsilonEpsgreedy	(	SCIP_BANDIT *	epsgreedy,
		SCIP_Real	eps
	)

set epsilon parameter of epsilon greedy bandit algorithm

Parameters

epsgreedy	epsilon greedy bandit algorithm
eps	parameter to increase probability for exploration between all actions

Definition at line 275 of file bandit_epsgreedy.c.

References eps, and SCIPbanditGetData().

◆ SCIPcreateBanditExp3()

SCIP_RETCODE SCIPcreateBanditExp3	(	SCIP *	scip,
		SCIP_BANDIT **	exp3,
		SCIP_Real *	priorities,
		SCIP_Real	gammaparam,
		SCIP_Real	beta,
		int	nactions,
		unsigned int	initseed
	)

creates and resets an Exp.3 bandit algorithm using scip pointer

Parameters

scip	SCIP data structure
exp3	pointer to store bandit algorithm
priorities	nonnegative priorities for each action, or NULL if not needed
gammaparam	weight between uniform (gamma ~ 1) and weight driven (gamma ~ 0) probability distribution
beta	gain offset between 0 and 1 at every observation
nactions	the positive number of actions for this bandit algorithm
initseed	initial seed for random number generation

Definition at line 299 of file bandit_exp3.c.

References BANDIT_NAME, SCIP_CALL, SCIP_INVALIDDATA, SCIP_OKAY, SCIPbanditCreateExp3(), SCIPblkmem(), SCIPbuffer(), SCIPerrorMessage, SCIPfindBanditvtable(), and SCIPinitializeRandomSeed().

Referenced by createBandit().

◆ SCIPsetGammaExp3()

void SCIPsetGammaExp3	(	SCIP_BANDIT *	exp3,
		SCIP_Real	gammaparam
	)

set gamma parameter of Exp.3 bandit algorithm to increase weight of uniform distribution

Parameters

exp3	bandit algorithm
gammaparam	weight between uniform (gamma ~ 1) and weight driven (gamma ~ 0) probability distribution

Definition at line 325 of file bandit_exp3.c.

References SCIPbanditGetData().

◆ SCIPsetBetaExp3()

void SCIPsetBetaExp3	(	SCIP_BANDIT *	exp3,
		SCIP_Real	beta
	)

set beta parameter of Exp.3 bandit algorithm to increase gain offset for actions that were not played

Parameters

exp3	bandit algorithm
beta	gain offset between 0 and 1 at every observation

Definition at line 338 of file bandit_exp3.c.

References SCIPbanditGetData().

◆ SCIPgetProbabilityExp3()

SCIP_Real SCIPgetProbabilityExp3	(	SCIP_BANDIT *	exp3,
		int	action
	)

returns probability to play an action

Parameters

exp3	bandit algorithm
action	index of the requested action

Definition at line 351 of file bandit_exp3.c.

References SCIP_Real, SCIPbanditGetData(), and SCIPbanditGetNActions().

Referenced by printNeighborhoodStatistics().

◆ SCIPcreateBanditUcb()

SCIP_RETCODE SCIPcreateBanditUcb	(	SCIP *	scip,
		SCIP_BANDIT **	ucb,
		SCIP_Real *	priorities,
		SCIP_Real	alpha,
		int	nactions,
		unsigned int	initseed
	)

create and reset UCB bandit algorithm

Parameters

scip	SCIP data structure
ucb	pointer to store bandit algorithm
priorities	nonnegative priorities for each action, or NULL if not needed
alpha	parameter to increase confidence width
nactions	the positive number of actions for this bandit algorithm
initseed	initial random number seed

Definition at line 325 of file bandit_ucb.c.

References BANDIT_NAME, SCIP_CALL, SCIP_INVALIDDATA, SCIP_OKAY, SCIPbanditCreateUcb(), SCIPblkmem(), SCIPbuffer(), SCIPerrorMessage, SCIPfindBanditvtable(), and SCIPinitializeRandomSeed().

Referenced by createBandit().

◆ SCIPgetConfidenceBoundUcb()

SCIP_Real SCIPgetConfidenceBoundUcb	(	SCIP_BANDIT *	ucb,
		int	action
	)

returns the upper confidence bound of a selected action

Parameters

ucb	UCB bandit algorithm
action	index of the queried action

Definition at line 250 of file bandit_ucb.c.

References SCIP_Real, SCIPbanditGetData(), SCIPbanditGetNActions(), and sqrt().

Referenced by printNeighborhoodStatistics().

◆ SCIPgetStartPermutationUcb()

int* SCIPgetStartPermutationUcb ( SCIP_BANDIT * ucb )

return start permutation of the UCB bandit algorithm

Parameters

ucb	UCB bandit algorithm

Definition at line 279 of file bandit_ucb.c.

References SCIPbanditGetData().

SCIP

Detailed Description

Epsilon greedy

Exp.3

Upper Confidence Bounds (UCB)

Functions

Files

Function Documentation

◆ SCIPbanditSelect()

◆ SCIPbanditUpdate()

◆ SCIPbanditvtableGetName()

◆ SCIPbanditGetRandnumgen()

◆ SCIPbanditGetNActions()

◆ SCIPcreateBanditEpsgreedy()

◆ SCIPgetWeightsEpsgreedy()

◆ SCIPsetEpsilonEpsgreedy()

◆ SCIPcreateBanditExp3()

◆ SCIPsetGammaExp3()

◆ SCIPsetBetaExp3()

◆ SCIPgetProbabilityExp3()

◆ SCIPcreateBanditUcb()

◆ SCIPgetConfidenceBoundUcb()

◆ SCIPgetStartPermutationUcb()