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arXiv · 2301.13791

Improved Algorithms for Multi-period Multi-class Packing Problems with Bandit Feedback

Wonyoung Kim·Garud Iyengar·Assaf Zeevi
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Abstract

We consider the linear contextual multi-class multi-period packing problem (LMMP) where the goal is to pack items such that the total vector of consumption is below a given budget vector and the total value is as large as possible. We consider the setting where the reward and the consumption vector associated with each action is a class-dependent linear function of the context, and the decision-maker receives bandit feedback. LMMP includes linear contextual bandits with knapsacks and online revenue management as special cases. We establish a new estimator which guarantees a faster convergence rate, and consequently, a lower regret in such problems. We propose a bandit policy that is a closed-form function of said estimated parameters. When the contexts are non-degenerate, the regret of the proposed policy is sublinear in the context dimension, the number of classes, and the time horizon $T$ when the budget grows at least as $\sqrt{T}$. We also resolve an open problem posed by Agrawal & Devanur (2016) and extend the result to a multi-class setting. Our numerical experiments clearly demonstrate that the performance of our policy is superior to other benchmarks in the literature.

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Wonyoung Kim, Garud Iyengar, Assaf Zeevi. 2023-01-31. Improved Algorithms for Multi-period Multi-class Packing Problems with Bandit Feedback. https://arxiv.org/abs/2301.13791

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