Annealing linear scalarized based multi-objective multi-armed bandit algorithm

S.Q. Yahyaa, M.M. Drugan, B. Manderick

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review


A stochastic multi-objective multi-armed bandit problem is a particular type of multi-objective (MO) optimization problems where the goal is to find and play fairly the optimal arms. To solve the multi-objective optimization problem, we propose annealing linear scalarized algorithm that transforms the MO optimization problem into a single one by using a linear scalarization function, and finds and plays fairly the optimal arms by using a decaying parameter ϵt. We compare empirically linear scalarized-UCB1 algorithm with the annealing linear scalarized algorithm on a test suit of multi-objective multi-armed bandit problems with independent Bernoulli distributions using different approaches to define weight sets. We used the standard approach, the adaptive approach and the genetic approach. We conclude that the performance of the annealing scalarized and the scalarized UCB1 algorithms depend on the used weight approach.

Original languageEnglish
Title of host publication2015 IEEE Congress on Evolutionary Computation (CEC 2015), 25-28 May 2015, Sendai, Japan
Place of PublicationPiscataway
PublisherInstitute of Electrical and Electronics Engineers
Number of pages8
ISBN (Print)9781479974924
Publication statusPublished - 10 Sept 2015
Event2015 IEEE Congress on Evolutionary Computation, CEC 2015 - Sendai, Japan
Duration: 25 May 201528 May 2015


Conference2015 IEEE Congress on Evolutionary Computation, CEC 2015


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