Code for A unified framework for bandit multiple testing

To install the pre-requisite packages, first install conda and python. Install the requirements with:

conda env create -f environment.yml -n <environment name>
pip install -r requirements.txt

Then, activate the environment

conda activate <environment name>

Documentation

There is partial documentation of the code through sphinx. To make the docs, run make html inside of the docs/ folder, and then open _build/index.html document to get to the home page of the documentation.

Reproducing the figures in the paper

There are 3 different simulations we conduct in the paper. The first is a comparison between p-variables with BH and e-variables with e-BH. This is the simulation described in Section 5 of the paper.

To run any of the experiments, run the following lines while in the main repo directory:

EXP_DIR=<directory with experiment configs> \
STYLE_FLAGS=<whether there are any style flags> \
REL_METHOD=<method to be compare other methods' relative times to> \
PROCESSES=<number of processors> \
OUTPUT_DIR=<output directory> \
mkdir -p $OUTPUT_DIR && \
scripts/run_configs.sh $EXP_DIR $PROCESSES $OUTPUT_DIR && \
scripts/plot_configs.sh $OUTPUT_DIR $OUTPUT_DIR "${REL_METHOD}" "${STYLE_FLAGS}"

PROCESSES and OUTPUT_DIR are chosen by you, the user running these experiments. The other three variables depend on the experiment you wish to reproduce.

For the simulations in Section 5, comparing BH w/ p-variables to e-BH with e-variables:

EXP_DIR=exp_configs/pve \
STYLE_FLAGS="" \
REL_METHOD="PUCB_EBH"

For the simulations in Section E.1 (Figure 5), comparing BH w/ different choices of p-variables to e-BH with e-variables:

EXP_DIR=exp_configs/supp/UCB \
STYLE_FLAGS="--style_map styles/supp.json" \
REL_METHOD="PM-H (E)"

For the simulations in Section E.2 (Figure 6), comparing BH w/ e-BH in a graph bandit (arms correspond to nodes) setting:

EXP_DIR=exp_configs/supp/graph
STYLE_FLAGS="--log_scale"
REL_METHOD="e-BH"

BibTex citation for this code/paper:

@inproceedings{xu2021unified,
  title={A unified framework for bandit multiple testing},
  author={Xu, Ziyu and Wang, Ruodu and Ramdas, Aaditya},
  booktitle={Advances in Neural Information Processing Systems},
  year={2021}
}