Hierarchical Upper Confidence Bounds for Constrained Online Learning
Ali Baheri
TL;DR
This paper proposes the hierarchical constrained upper confidence bound (HC-UCB) algorithm, designed to address the complexities of the HCB problem by leveraging confidence bounds within a hierarchical setting, and derives a minimax lower bound on the regret for the HCB problem.
Abstract
The multi-armed bandit (MAB) problem is a foundational framework in sequential decision-making under uncertainty, extensively studied for its applications in areas such as clinical trials, online advertising, and resource allocation. Traditional MAB formulations, however, do not adequately capture scenarios where decisions are structured hierarchically, involve multi-level constraints, or feature context-dependent action spaces. In this paper, we introduce the hierarchical constrained bandits (HCB) framework, which extends the contextual bandit problem to incorporate hierarchical decision structures and multi-level constraints. We propose the hierarchical constrained upper confidence bound (HC-UCB) algorithm, designed to address the complexities of the HCB problem by leveraging confidence bounds within a hierarchical setting. Our theoretical analysis establishes sublinear regret bounds for HC-UCB and provides high-probability guarantees for constraint satisfaction at all hierarchical levels. Furthermore, we derive a minimax lower bound on the regret for the HCB problem, demonstrating the near-optimality of our algorithm. The results are significant for real-world applications where decision-making processes are inherently hierarchical and constrained, offering a robust and efficient solution that balances exploration and exploitation across multiple levels of decision-making.