Matroid Bandits: Fast Combinatorial Optimization with Learning

Abstract: A matroid is a notion of independence in combinatorial optimization which is closely related to computational efficiency. In particular, it is well known that the maximum of a constrained modular function can be found greedily if and only if the constraints are associated with a matroid. In this paper, we bring together the ideas of bandits and matroids, and propose a new class of combinatorial bandits, matroid bandits. The objective in these problems is to learn how to maximize a modular function on a matroid. This function is stochastic and initially unknown. We propose a practical algorithm for solving our problem, Optimistic Matroid Maximization (OMM); and prove two upper bounds, gap-dependent and gap-free, on its regret. Both bounds are sublinear in time and at most linear in all other quantities of interest. The gap-dependent upper bound is tight and we prove a matching lower bound on a partition matroid bandit. Finally, we evaluate our method on three real-world problems and show that it is practical.