TY - GEN
T1 - ROI Maximization in Stochastic Online Decision-Making
AU - Cesa-Bianchi, Nicolò
AU - Cesari, Tommaso
AU - Mansour, Yishay
AU - Perchet, Vianney
N1 - Publisher Copyright:
© 2021 Neural information processing systems foundation. All rights reserved.
PY - 2021
Y1 - 2021
N2 - We introduce a novel theoretical framework for Return On Investment (ROI) maximization in repeated decision-making. Our setting is motivated by the use case of companies that regularly receive proposals for technological innovations and want to quickly decide whether they are worth implementing. We design an algorithm for learning ROI-maximizing decision-making policies over a sequence of innovation proposals. Our algorithm provably converges to an optimal policy in class Π at a rate of order min {1/(N ∆2), N−1/3}, where N is the number of innovations and ∆ is the suboptimality gap in Π. A significant hurdle of our formulation, which sets it aside from other online learning problems such as bandits, is that running a policy does not provide an unbiased estimate of its performance.
AB - We introduce a novel theoretical framework for Return On Investment (ROI) maximization in repeated decision-making. Our setting is motivated by the use case of companies that regularly receive proposals for technological innovations and want to quickly decide whether they are worth implementing. We design an algorithm for learning ROI-maximizing decision-making policies over a sequence of innovation proposals. Our algorithm provably converges to an optimal policy in class Π at a rate of order min {1/(N ∆2), N−1/3}, where N is the number of innovations and ∆ is the suboptimality gap in Π. A significant hurdle of our formulation, which sets it aside from other online learning problems such as bandits, is that running a policy does not provide an unbiased estimate of its performance.
UR - http://www.scopus.com/inward/record.url?scp=85125029994&partnerID=8YFLogxK
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AN - SCOPUS:85125029994
T3 - Advances in Neural Information Processing Systems
SP - 9152
EP - 9166
BT - Advances in Neural Information Processing Systems 34 - 35th Conference on Neural Information Processing Systems, NeurIPS 2021
A2 - Ranzato, Marc'Aurelio
A2 - Beygelzimer, Alina
A2 - Dauphin, Yann
A2 - Liang, Percy S.
A2 - Wortman Vaughan, Jenn
PB - Neural information processing systems foundation
T2 - 35th Conference on Neural Information Processing Systems, NeurIPS 2021
Y2 - 6 December 2021 through 14 December 2021
ER -