[scikit-learn] Multi Armed Bandit Algorithms in Scikit-learn

Andreas Mueller t3kcit at gmail.com
Tue Sep 4 13:47:13 EDT 2018


Bandit algorithms require a fundamentally different kind of interface 
than what's in scikit-learn right now, as they are sequential decision 
making algorithms.

On 09/04/2018 01:23 PM, Touqir Sajed wrote:
> Hi,
> This email is intended to initiate a discussion on whether it is worth 
> adding Multi-Armed Bandit (MAB) algorithms in Scikit-learn. For those 
> of you who have not heard of MAB algorithms, they are the simplest 
> form of decision-making algorithms applicable whenever data with 
> labels are not given beforehand and the objective is to try out 
> different decisions, whenever a sample is seen, and learn which 
> decision is the best in the long run. They are the simplest form of 
> Reinforcement Learning algorithms. While they are not applicable for 
> every decision-making tasks, they naturally fit into a number of 
> problem settings where they are more sample efficient and simpler than 
> the more advanced RL algorithms. For a number of applications : 
> https://www.quora.com/In-what-kind-of-real-life-situations-can-we-use-a-multi-arm-bandit-algorithm. If 
> <https://ml-trckr.com/link/https%3A%2F%2Fwww.quora.com%2FIn-what-kind-of-real-life-situations-can-we-use-a-multi-arm-bandit-algorithm.%C2%A0If/0oMKOPmYKsXmGqYdOxqi> 
> you want to know more about their usage, how they work or their 
> advantages, feel free to let me know!
> I do feel that MAB algorithms should be a part of Scikit-learn since a 
> lot of the interesting problems that we face regarding learning is 
> about decision making. There are quite a few github repos with MAB 
> implementations but their coverage is extremely limited and I do not 
> know of any dedicated library on MABs. Companies like Yahoo, 
> Microsoft, Google use MABs for Ad recommendation and search engine 
> optimization but their code is not made public.
> Cheers,
> Touqir
> -- 
> Computing Science Master's student at University of Alberta, Canada, 
> specializing in Machine Learning. Website : 
> https://ca.linkedin.com/in/touqir-sajed-6a95b1126 
> <https://ml-trckr.com/link/https%3A%2F%2Fca.linkedin.com%2Fin%2Ftouqir-sajed-6a95b1126/0oMKOPmYKsXmGqYdOxqi>
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