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Differential Evolution Algorithm Applied to Non-Stationary Bandit Problem

David L. St-Pierre 1, 2 Jialin Liu 1, 3
1 TAO - Machine Learning and Optimisation
CNRS - Centre National de la Recherche Scientifique : UMR8623, Inria Saclay - Ile de France, UP11 - Université Paris-Sud - Paris 11, LRI - Laboratoire de Recherche en Informatique
2 Montefiore institute
LRI - Laboratoire de Recherche en Informatique, Institut Montefiore - Department of Electrical Engineering and Computer Science
Abstract : In this paper we compare Differential Evolution (DE), an evolutionary algorithm, to classical bandit algorithms over the non-stationary bandit problem. First we define a testcase where the variation of the distributions depends on the number of times an option is evaluated rather than over time. This definition allows the possibility to apply these algorithms over a wide range of problems such as black-box portfolio selection. Second we present our own variant of discounted Upper Confidence Bound (UCB) algorithm that outperforms the current state-of-the-art algorithms for the non-stationary bandit problem. Third, we introduce a variant of DE and show that, on a selection over a portfolio of solvers for the Cart-Pole problem, our version of DE outperforms the current best UCB algorithms.
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https://hal.inria.fr/hal-00979456
Contributor : Jialin Liu <>
Submitted on : Wednesday, July 16, 2014 - 7:00:15 AM
Last modification on : Tuesday, April 21, 2020 - 1:07:17 AM
Document(s) archivé(s) le : Thursday, November 20, 2014 - 3:37:44 PM

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David L. St-Pierre, Jialin Liu. Differential Evolution Algorithm Applied to Non-Stationary Bandit Problem. 2014 IEEE Congress on Evolutionary Computation (IEEE CEC 2014), Jul 2014, Beijing, China. ⟨hal-00979456⟩

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