Research
Thompson Sampling for Contextual Bandit Problems with Auxiliary Safety Constraints
December 2, 2019
Abstract
Recent advances in contextual bandit optimization and reinforcement learning have garnered interest in applying these methods to real-world sequential decision making problems [1–4]. Real-world applications frequently have constraints with respect to a currently deployed policy. Many of the existing constraint-aware algorithms consider problems with a single objective (the reward) and a constraint on the reward with respect to a baseline policy. However, many important applications involve multiple competing objectives and auxiliary constraints. In this paper, we propose a novel Thompson sampling algorithm for multi-outcome contextual bandit problems with auxiliary constraints. We empirically evaluate our algorithm on a synthetic problem. Lastly, we apply our method to a real world video transcoding problem and provide a practical way for navigating the trade-off between safety and performance using Bayesian optimization.
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