Federated Online Sparse Decision Making
- URL: http://arxiv.org/abs/2202.13448v1
- Date: Sun, 27 Feb 2022 20:34:41 GMT
- Title: Federated Online Sparse Decision Making
- Authors: Chi-Hua Wang, Wenjie Li, Guang Cheng, and Guang Lin
- Abstract summary: textttFedego Lasso relies on a novel multi-client-selfish bandit policy design.
Experiments demonstrate the effectiveness of the proposed algorithms on both synthetic and real-world datasets.
- Score: 24.856596181768364
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: This paper presents a novel federated linear contextual bandits model, where
individual clients face different K-armed stochastic bandits with
high-dimensional decision context and coupled through common global parameters.
By leveraging the sparsity structure of the linear reward , a collaborative
algorithm named \texttt{Fedego Lasso} is proposed to cope with the
heterogeneity across clients without exchanging local decision context vectors
or raw reward data. \texttt{Fedego Lasso} relies on a novel multi-client
teamwork-selfish bandit policy design, and achieves near-optimal regrets for
shared parameter cases with logarithmic communication costs. In addition, a new
conceptual tool called federated-egocentric policies is introduced to delineate
exploration-exploitation trade-off. Experiments demonstrate the effectiveness
of the proposed algorithms on both synthetic and real-world datasets.
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