Sparse Dueling Bandits

Abstract: The dueling bandit problem is a variation of the classical multi-armed bandit in which the allowable actions are noisy comparisons between pairs of arms. This paper focuses on a new approach for finding the "best" arm according to the Borda criterion using noisy comparisons. We prove that in the absence of structural assumptions, the sample complexity of this problem is proportional to the sum of the inverse squared gaps between the Borda scores of each suboptimal arm and the best arm. We explore this dependence further and consider structural constraints on the pairwise comparison matrix (a particular form of sparsity natural to this problem) that can significantly reduce the sample complexity. This motivates a new algorithm called Successive Elimination with Comparison Sparsity (SECS) that exploits sparsity to find the Borda winner using fewer samples than standard algorithms. We also evaluate the new algorithm experimentally with synthetic and real data. The results show that the sparsity model and the new algorithm can provide significant improvements over standard approaches.