Abstract In recent years, attention has been focused on the relationship between black-box optimization problem and reinforcement learning problem. In this research, we propose the Mirror Descent Search (MDS) algorithm which is applicable both for black box optimization problems and reinforcement learning problems. Our method is based on the mirror descent method, which is a general optimization algorithm. The contribution of this research is roughly twofold. We propose two essential algorithms, called MDS and Accelerated Mirror Descent Search (AMDS), and two more approximate algorithms: Gaussian Mirror Descent Search (G-MDS) and Gaussian Accelerated Mirror Descent Search (G-AMDS). This research shows that the advanced methods developed in the context of the mirror descent research can be applied to reinforcement learning problem. We also clarify the relationship between an existing reinforcement learning algorithm and our method. With two evaluation experiments, we show our proposed algorithms converge faster than some state-of-the-art methods.
The KL divergence between @math and @math is represented as follows. We call @math Kullback Leibler divergence under the condition that we determine @math by reference to the fixed @math ; we call @math reverse-KL divergence @cite_9 . Bregman divergence includes both of KL and RKL divergence @cite_33 , so we expect it provides an unified formulation of above-mentioned algorithms.
@cite_9 @cite_33
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The probability that a user will click a search result depends both on its relevance and its position on the results page. The position based model explains this behavior by ascribing to every item an attraction probability, and to every position an examination probability. To be clicked, a result must be both attractive and examined. The probabilities of an item-position pair being clicked thus form the entries of a rank- @math matrix. We propose the learning problem of a Bernoulli rank- @math bandit where at each step, the learning agent chooses a pair of row and column arms, and receives the product of their Bernoulli-distributed values as a reward. This is a special case of the stochastic rank- @math bandit problem considered in recent work that proposed an elimination based algorithm Rank1Elim, and showed that Rank1Elim's regret scales linearly with the number of rows and columns on "benign" instances. These are the instances where the minimum of the average row and column rewards @math is bounded away from zero. The issue with Rank1Elim is that it fails to be competitive with straightforward bandit strategies as @math . In this paper we propose Rank1ElimKL which simply replaces the (crude) confidence intervals of Rank1Elim with confidence intervals based on Kullback-Leibler (KL) divergences, and with the help of a novel result concerning the scaling of KL divergences we prove that with this change, our algorithm will be competitive no matter the value of @math . Experiments with synthetic data confirm that on benign instances the performance of Rank1ElimKL is significantly better than that of even Rank1Elim, while experiments with models derived from real data confirm that the im The Bregman k-median problem is defined as follows. Given a Bregman divergence D and a finite set @math of size n, our goal is to find a set C of size k such that the sum of errors cost(P,C)=pP min cC D(p,c) is minimized. The Bregman k-median problem plays an important role in many applications, e.g., information theory, statistics, text classification, and speech processing. We study a generalization of the kmeans++ seeding of Arthur and Vassilvitskii (SODA '07). We prove for an almost arbitrary Bregman divergence that if the input set consists of k well separated clusters, then with probability @math this seeding step alone finds an @math -approximate solution. Thereby, we generalize an earlier result of (FOCS '06) from the case of the Euclidean k-means problem to the Bregman k-median problem. Additionally, this result leads to a constant factor approximation algorithm for the Bregman k-median problem using at most @math arithmetic operations, including evaluations of Bregman divergence D.