Contextual Combinatorial Multi-output GP Bandits with Group Constraints

Abstract

In federated multi-armed bandit problems, maximizing global reward while satisfying minimum privacy requirements to protect clients is the main goal. To formulate such problems, we consider a combinatorial contextual bandit setting with groups and changing action sets, where similar base arms arrive in groups and a set of base arms, called a super arm, must be chosen in each round to maximize super arm reward while satisfying the constraints of the rewards of groups from which base arms were chosen. To allow for greater flexibility, we let each base arm have two outcomes, modeled as the output of a two-output Gaussian process (GP), where one outcome is used to compute super arm reward and the other for group reward. We then propose a novel double-UCB GP-bandit algorithm, called Thresholded Combinatorial Gaussian Process Upper Confidence Bounds (TCGP-UCB), which balances between maximizing cumulative super arm reward and satisfying group reward constraints and can be tuned to prefer one over the other. We also define a new notion of regret that combines super arm regret with group reward constraint satisfaction and prove that TCGP-UCB incurs $\tilde{O}(\sqrt{\lambda^*(K)KT\overline{\gamma}_{T}} )$ regret with high probability, where $\overline{\gamma}_{T}$ is the maximum information gain associated with the set of base arm contexts that appeared in the first $T$ rounds and $K$ is the maximum super arm cardinality over all rounds. We lastly show in experiments using synthetic and real-world data and based on a federated learning setup as well as a content-recommendation one that our algorithm performs better then the current non-GP state-of-the-art combinatorial bandit algorithm, while satisfying group constraints.