Dynamic Planning and Learning under Recovering Rewards
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Motivated by emerging applications such as live-streaming e-commerce, promotions and recommendations, we introduce a general class of multi-armed bandit problems that have the following two features: (i) the decision maker can pull and collect rewards from at most K out of N different arms in each time period; (ii) the expected reward of an arm immediately drops after it is pulled, and then non parametrically recovers as the idle time increases. With the objective of maximizing expected cumulative rewards over T time periods, we propose, construct and prove performance guarantees for a class of "Purely Periodic Policies". For the offline problem when all model parameters are known, our proposed policy obtains an approximation ratio that is at the order of 1-šŖ(1/ā(K)), which is asymptotically optimal when K grows to infinity. For the online problem when the model parameters are unknown and need to be learned, we design an Upper Confidence Bound (UCB) based policy that approximately has šŖ(Nā(T)) regret against the offline benchmark. Our framework and policy design may have the potential to be adapted into other offline planning and online learning applications with non-stationary and recovering rewards.
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