Jules Kruijswijk

Jules Kruijswijk, Petri Parvinen, Maurits Kaptein

The (contextual) multi-armed bandit problem (MAB) provides a formalization of sequential decision-making which has many applications. However, validly evaluating MAB policies is challenging; we either resort to simulations which inherently include debatable assumptions, or we resort to expensive field trials. Recently an offline evaluation method has been suggested that is based on empirical data, thus relaxing the assumptions, and can be used to evaluate multiple competing policies in parallel. This method is however not directly suited for the continuous armed (CAB) problem; an often encountered version of the MAB problem in which the action set is continuous instead of discrete. We propose and evaluate an extension of the existing method such that it can be used to evaluate CAB policies. We empirically demonstrate that our method provides a relatively consistent ranking of policies. Furthermore, we detail how our method can be used to select policies in a real-life CAB problem.

Jules Kruijswijk, Robin van Emden, Petri Parvinen et al.

A large number of statistical decision problems in the social sciences and beyond can be framed as a (contextual) multi-armed bandit problem. However, it is notoriously hard to develop and evaluate policies that tackle these types of problem, and to use such policies in applied studies. To address this issue, this paper introduces StreamingBandit, a Python web application for developing and testing bandit policies in field studies. StreamingBandit can sequentially select treatments using (online) policies in real time. Once StreamingBandit is implemented in an applied context, different policies can be tested, altered, nested, and compared. StreamingBandit makes it easy to apply a multitude of bandit policies for sequential allocation in field experiments, and allows for the quick development and re-use of novel policies. In this article, we detail the implementation logic of StreamingBandit and provide several examples of its use.