Pareto Front Identification with Regret Minimization
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We consider Pareto front identification for linear bandits (PFILin) where the goal is to identify a set of arms whose reward vectors are not dominated by any of the others when the mean reward vector is a linear function of the context. PFILin includes the best arm identification problem and multi-objective active learning as special cases. The sample complexity of our proposed algorithm is Õ(d/Δ^2), where d is the dimension of contexts and Δ is a measure of problem complexity. Our sample complexity is optimal up to a logarithmic factor. A novel feature of our algorithm is that it uses the contexts of all actions. In addition to efficiently identifying the Pareto front, our algorithm also guarantees Õ(√(d/t)) bound for instantaneous Pareto regret when the number of samples is larger than Ω(dlog dL) for L dimensional vector rewards. By using the contexts of all arms, our proposed algorithm simultaneously provides efficient Pareto front identification and regret minimization. Numerical experiments demonstrate that the proposed algorithm successfully identifies the Pareto front while minimizing the regret.
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