Abstract:Stochastic processes model various natural phenomena from disease transmission to stock prices, but simulating and quantifying their uncertainty can be computationally challenging. For example, modeling a Gaussian Process with standard statistical methods incurs an $\mathcal{O}(n^3)$ penalty, and even using state-of-the-art Neural Processes (NPs) incurs an $\mathcal{O}(n^2)$ penalty due to the attention mechanism. We introduce the Transformer Neural Process - Kernel Regression (TNP-KR), a new architecture that incorporates a novel transformer block we call a Kernel Regression Block (KRBlock), which reduces the computational complexity of attention in transformer-based Neural Processes (TNPs) from $\mathcal{O}((n_C+n_T)^2)$ to $O(n_C^2+n_Cn_T)$ by eliminating masked computations, where $n_C$ is the number of context, and $n_T$ is the number of test points, respectively, and a fast attention variant that further reduces all attention calculations to $\mathcal{O}(n_C)$ in space and time complexity. In benchmarks spanning such tasks as meta-regression, Bayesian optimization, and image completion, we demonstrate that the full variant matches the performance of state-of-the-art methods while training faster and scaling two orders of magnitude higher in number of test points, and the fast variant nearly matches that performance while scaling to millions of both test and context points on consumer hardware.
Abstract:We study the problem of globally optimising a target variable of an unknown causal graph on which a sequence of soft or hard interventions can be performed. The problem of optimising the target variable associated with a causal graph is formalised as Causal Bayesian Optimisation (CBO). We study the CBO problem under the cumulative regret objective with unknown causal graphs for two settings, namely structural causal models with hard interventions and function networks with soft interventions. We propose Graph Agnostic Causal Bayesian Optimisation (GACBO), an algorithm that actively discovers the causal structure that contributes to achieving optimal rewards. GACBO seeks to balance exploiting the actions that give the best rewards against exploring the causal structures and functions. To the best of our knowledge, our work is the first to study causal Bayesian optimization with cumulative regret objectives in scenarios where the graph is unknown or partially known. We show our proposed algorithm outperforms baselines in simulated experiments and real-world applications.
Abstract:We consider the problem of personalised news recommendation where each user consumes news in a sequential fashion. Existing personalised news recommendation methods focus on exploiting user interests and ignores exploration in recommendation, which leads to biased feedback loops and hurt recommendation quality in the long term. We build on contextual bandits recommendation strategies which naturally address the exploitation-exploration trade-off. The main challenges are the computational efficiency for exploring the large-scale item space and utilising the deep representations with uncertainty. We propose a two-stage hierarchical topic-news deep contextual bandits framework to efficiently learn user preferences when there are many news items. We use deep learning representations for users and news, and generalise the neural upper confidence bound (UCB) policies to generalised additive UCB and bilinear UCB. Empirical results on a large-scale news recommendation dataset show that our proposed policies are efficient and outperform the baseline bandit policies.
Abstract:We consider the continuum-armed bandits problem, under a novel setting of recommending the best arms within a fixed budget under aggregated feedback. This is motivated by applications where the precise rewards are impossible or expensive to obtain, while an aggregated reward or feedback, such as the average over a subset, is available. We constrain the set of reward functions by assuming that they are from a Gaussian Process and propose the Gaussian Process Optimistic Optimisation (GPOO) algorithm. We adaptively construct a tree with nodes as subsets of the arm space, where the feedback is the aggregated reward of representatives of a node. We propose a new simple regret notion with respect to aggregated feedback on the recommended arms. We provide theoretical analysis for the proposed algorithm, and recover single point feedback as a special case. We illustrate GPOO and compare it with related algorithms on simulated data.
Abstract:We consider a variant of the best arm identification task in stochastic multi-armed bandits. Motivated by risk-averse decision-making problems in fields like medicine, biology and finance, our goal is to identify a set of $m$ arms with the highest $\tau$-quantile values under a fixed budget. We propose Quantile Successive Accepts and Rejects algorithm (Q-SAR), the first quantile based algorithm for fixed budget multiple arms identification. We prove two-sided asymmetric concentration inequalities for order statistics and quantiles of random variables that have non-decreasing hazard rate, which may be of independent interest. With the proposed concentration inequalities, we upper bound the probability of arm misidentification for the bandit task. We show illustrative experiments for best arm identification.