Bandits with Knapsacks

• Published in: Journal of the ACM Vol. 65; no. 3; pp. 1 - 55
• Main Authors: Badanidiyuru, Ashwinkumar, Kleinberg, Robert, Slivkins, Aleksandrs
• Format: Journal Article
• Language: English
• Published: New York Association for Computing Machinery 01.03.2018
• Subjects: Algorithms; Communication networks; Domains; Exploration; Information theory; Integer programming; Knapsack problem; Learning; Linear programming; Machine learning; Mathematical problems; Optimization
• ISSN: 0004-5411; 1557-735X
• DOI: 10.1145/3164539

Multi-armed bandit problems are the predominant theoretical model of exploration-exploitation tradeoffs in learning, and they have countless applications ranging from medical trials, to communication networks, to Web search and advertising. In many of these application domains, the learner may be constrained by one or more supply (or budget) limits, in addition to the customary limitation on the time horizon. The literature lacks a general model encompassing these sorts of problems. We introduce such a model, called bandits with knapsacks , that combines bandit learning with aspects of stochastic integer programming. In particular, a bandit algorithm needs to solve a stochastic version of the well-known knapsack problem , which is concerned with packing items into a limited-size knapsack. A distinctive feature of our problem, in comparison to the existing regret-minimization literature, is that the optimal policy for a given latent distribution may significantly outperform the policy that plays the optimal fixed arm. Consequently, achieving sublinear regret in the bandits-with-knapsacks problem is significantly more challenging than in conventional bandit problems. We present two algorithms whose reward is close to the information-theoretic optimum: one is based on a novel “balanced exploration” paradigm, while the other is a primal-dual algorithm that uses multiplicative updates. Further, we prove that the regret achieved by both algorithms is optimal up to polylogarithmic factors. We illustrate the generality of the problem by presenting applications in a number of different domains, including electronic commerce, routing, and scheduling. As one example of a concrete application, we consider the problem of dynamic posted pricing with limited supply and obtain the first algorithm whose regret, with respect to the optimal dynamic policy, is sublinear in the supply.