响应面老虎机

Response Surface Bandits

Journal of the Royal Statistical Society. Series B: Statistical Methodology · 1995
被引 44
ABS 4

中文导读

定义了响应面老虎机问题,即通过序贯设计最大化期望老虎机效用,其中连续结果通过响应面与可控变量关联,并提出了两种求解方法。

Abstract

SUMMARY In this paper we define a response surface bandit as the sequential design problem that maximizes an expected bandit utility but where the outcomes yn are continuous and can be related through a response surface to a set of controllable variables xn = (x 1n, x 2n,···, xkn). We link this problem to other traditional optimization problems from industrial engineering and to the traditional bandit problem. We consider two approaches to the problem. The first is based on a myopic sequential design. The second approach uses the best design out of a family of designs related to upper bounds for the predicted surface; the family includes myopic and sequential versions of D-optimal designs. These approaches can be generalized to more broadly defined sequential problems.

机器学习统计学工业工程序贯分析优化设计