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Code and data for the paper "Scaling Multi-Armed Bandit Algorithms". Fouché, Komiyama, Böhm. KDD'19
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README.md

Scaling Multi-Armed Bandits (S-MAB)

Build Status License AGPL-3.0

Welcome to the supplementary material for the paper:

  • Edouard Fouché, Junpei Komiyama, and Klemens Böhm. 2019. Scaling Multi-Armed Bandit Algorithms. In The 25th ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD ’19), August 4–8, 2019, Anchorage, AK, USA. ACM, New York, NY, USA, 11 pages. https://doi.org/10.1145/3292500.3330862

This repository contains the reference implementation of the "Scaling Bandits" (S-TS and S-TS-ADWIN) and all the information required to reproduce the experiments in the paper. For this reason, it is partially frozen at the time of publication.

This repository is released under the AGPLv3 license. Please see the LICENSE.md file. The data from the Bioliq® pyrolisis plant, which we use in the paper, is licensed under CC-BY-NC-SA-4.0. You can download it from here.

If you are using the code or data from this repository, please cite our paper.

Quick start

Build it and run it

Requirements : (Oracle JDK 8 or OpenJDK 8) and sbt

The project is built with sbt (version 1.2.8). You can compile, package or run the project as follows:

sbt compile
sbt package
sbt "run <arguments>"

You can also export a "fat" jar, including all dependencies and scala libraries using sbt-assembly:

sbt assembly

This creates a jar in the folder target/scala-2.12/ named S-MAB-<version>.jar, which can be run from java (no sbt/scala installation required). The version of the package at the time of the experiments is 1.0.

Once you have built the jar, you can run it as follows:

java -jar target/scala-2.12/S-MAB-1.0.jar <arguments>

Reproducing the experiments

In this section, we explain how to reproduce the experiments from our paper. The experiments create about 2.1GB of data and require about 80 hours on a server with 32 cores at 3.0 GHz and 64GB RAM, using Java Open-JDK 8 and Scala 2.12.8. Results are saved in the folder experiments as .csv files, along with logs.

Note that depending on your setting, you might want to increase the memory available for the JVM (using the Xmx option, for example), or you might run into some java.lang.OutOfMemoryError: GC overhead limit exceeded exception.

Static

Evaluate Scaling Bandits in the static setting (Figure 1).

sbt "run com.edouardfouche.experiments.BanditStatic"  # ~ 6 hours, 131MB data

Gradual

Evaluate Scaling Bandits in the non-static gradual setting (Figure 2 and 3, left part).

sbt "run com.edouardfouche.experiments.BanditNonStaticGradual"  # ~ 9 hours, 220MB data

Abrupt

Evaluate Scaling Bandits in the non-static abrupt setting (Figure 2 and 3, right part).

sbt "run com.edouardfouche.experiments.BanditNonStaticAbrupt"  # ~ 16 hours, 220MB data

Real-World

Pre-computation

We significantly speed up the experiments by pre-computing the pair-wise mutual information between every attributes of the real-world data. We provide the results of this pre-computation in this repository as data/Bioliq_S-MAB_1wx20_MI_1000_100.csv (so you can skip this first step).

You can access to the original data from the Bioliq® pyrolisis plant at the following link, licensed under CC-BY-NC-SA 4.0. After downloading the archive, you may simply add the Bioliq_S-MAB_1wx20.csv file into the data/ folder. Note that we are currently working on releasing additional extended versions of this data set with documentation on broader channels.

To perform the pre-computation (the file data/Bioliq_S-MAB_1wx20.csv is required), you may run:

sbt "run com.edouardfouche.experiments.BanditCache"  # ~ 5 min, 22MB data

Real-world experiments

Then, the following experiment evaluates Scaling Bandits in our real-world use case (Figure 5 and 6 top).

sbt "run com.edouardfouche.experiments.BanditRealWorld"  # ~ 4 hours, 100MB data

And this one evaluates Scaling Bandits in our real-world use case with different reward criterions (Figure 6 bottom).

sbt "run com.edouardfouche.experiments.BanditRealWorldRewards"  # ~ 2 hours, 320MB data

Scalability

Evaluate the scalability of Scaling Bandits with increasing number of time steps T and number of arms K (Figure 7).

sbt "run com.edouardfouche.experiments.BanditScalabilityK"  # ~ 2 hours, 120MB data
sbt "run com.edouardfouche.experiments.BanditScalabilityT"  # ~ 2 days, 986MB data

Visualize the results

Then, you can use the Jupyter notebooks in folder visualize to reproduce the plots from the publication. By the time of the experiments, we use the following Python packages:

# Name                    Version
matplotlib                2.0.2
numpy                     1.13.1
pandas                    0.20.3
seaborn                   0.8

Each experiments have dedicated notebooks, in the folder visualize/:

BanditStatic -> BanditStatic.ipynb

BanditNonStaticGradual -> BanditNonStaticGradual.ipynb, BanditNonStatic.ipynb

BanditNonStaticAbrupt -> BanditNonStaticAbrupt.ipynb, BanditNonStatic.ipynb

BanditCache -> RewardMatrix.ipynb

BanditRealWorld -> BanditRealWorld.ipynb

BanditRealWorldRewards -> BanditRealWorldRewards.ipynb

BanditScalabilityK, BanditScalabilityT -> BanditScalability.ipynb

Additional experiments

This repository also features a set of experiments which are not part of the paper.

Reproduce the experiments from Junpei Komiyama, Junya Honda, and Hiroshi Nakagawa. Optimal Regret Analysis of Thompson Sampling in Stochastic Multi-armed Bandit Problem with Multiple Plays. In ICML'15

sbt "run com.edouardfouche.experiments.BanditKomiyama"  # ~ 1.25 hours, 63MB data

Evaluate against another non-static change (global change). See com.edouardfouche.preprocess.GlobalGenerator.

sbt "run com.edouardfouche.experiments.BanditNonStaticGlobal"  # ~ 10.5 hours, 218MB data

Evaluate several variants of the static generators.

sbt "run com.edouardfouche.experiments.BanditStaticGenerator"  # ~ 12 hours, 438MB data

Evaluate the static generator with various number of arms.

sbt "run com.edouardfouche.experiments.BanditStaticK"  # ~ 25 hours, 414MB data

Evaluate the impact of optimistic initialization in the static setting.

sbt "run com.edouardfouche.experiments.BanditStaticOptimistic"  # ~ 10.5 hours, 285MB data

Evaluate various scaling policies.

sbt "run com.edouardfouche.experiments.BanditScalingStrategies"  # ~ 12 hours, 354MB data

Contributing

We welcome contributions to the repository and bug reports on GitHub.

For questions and comments, please contact edouard.fouche@kit.edu, or open an issue.

Acknowledgements

  • The ELKI project for the R*-Tree index structure, that we use to accelerate the nearest neighbors queries for computing Mutual Information.

  • Hendrik Braun, for the implementation of the Mutual Information estimator, as a part of his Bachelor's thesis at KIT.

  • We thank the pyrolysis team of the Bioliq® process for providing the data for our real-world use case

  • This work was supported by the DFG Research Training Group 2153: “Energy Status Data – Informatics Methods for its Collection, Analysis and Exploitation” and the German Federal Ministry of Education and Research (BMBF) via Software Campus (01IS17042).

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