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Activity Number: 335 - SPEED: Reliable Statistical Learning and Data Science
Type: Contributed
Date/Time: Tuesday, August 1, 2017 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Learning and Data Science
Abstract #324541 View Presentation
Title: Using Bandit Algorithms on Changing Reward Rates
Author(s): Jeffrey Roach*
Companies: OpenMail
Keywords: multi-armed bandit ; online advertising ; Thompson Sampling ; changing reward rates
Abstract:

Optimizing a dynamic online advertising system can be difficult for a multi-armed bandit. We utilized a sliding window of data along with a time decay to control overconfidence in the performance of a feature. We combined these techniques with a Thompson Sampling bandit to balance our explore/exploit strategy, minimize shocks during transition periods, and handle no clear winner situations efficiently resulting in ~5% increase in overall payout.


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