Oral
Delayed Feedback in Kernel Bandits
Sattar Vakili · Danyal Ahmed · Alberto Bernacchia · Ciara Pike-Burke
Exhibit Hall 2
Abstract:
Black box optimisation of an unknown function from expensive and noisy evaluations is a ubiquitous problem in machine learning, academic research and industrial production. An abstraction of the problem can be formulated as a kernel based bandit problem (also known as Bayesian optimisation), where a learner aims at optimising a kernelized function through sequential noisy observations. The existing work predominantly assumes feedback is immediately available; an assumption which fails in many real world situations, including recommendation systems, clinical trials and hyperparameter tuning. We consider a kernel bandit problem under stochastically delayed feedback, and propose an algorithm with regret, where is the number of time steps, is the maximum information gain of the kernel with observations, and is the delay random variable. This represents a significant improvement over the state of the art regret bound of reported in (Verma et al., 2022). In particular, for very non-smooth kernels, the information gain grows almost linearly in time, trivializing the existing results. We also validate our theoretical results with simulations.
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