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Distributed Exploration in Multi-Armed Bandits
Eshcar Hillel · Zohar Karnin · Tomer Koren · Ronny Lempel · Oren Somekh

Sun Dec 08 02:00 PM -- 06:00 PM (PST) @ Harrah's Special Events Center, 2nd Floor
We study exploration in Multi-Armed Bandits (MAB) in a setting where~$k$ players collaborate in order to identify an $\epsilon$-optimal arm. Our motivation comes from recent employment of MAB algorithms in computationally intensive, large-scale applications. Our results demonstrate a non-trivial tradeoff between the number of arm pulls required by each of the players, and the amount of communication between them. In particular, our main result shows that by allowing the $k$ players to communicate \emph{only once}, they are able to learn $\sqrt{k}$ times faster than a single player. That is, distributing learning to $k$ players gives rise to a factor~$\sqrt{k}$ parallel speed-up. We complement this result with a lower bound showing this is in general the best possible. On the other extreme, we present an algorithm that achieves the ideal factor $k$ speed-up in learning performance, with communication only logarithmic in~$1/\epsilon$.

Author Information

Eshcar Hillel (Yahoo! Labs)
Zohar Karnin (Yahoo Research)
Tomer Koren (Technion)
Ronny Lempel (Yahoo! Labs)
Oren Somekh (Yahoo! Labs)

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