Genetic multi-armed bandits: a reinforcement learning approach for discrete optimization via simulation
This addresses noisy large-scale optimization problems for researchers and practitioners, representing an incremental hybrid approach.
The paper tackles discrete stochastic optimization problems via simulation by proposing GMAB, a hybrid algorithm combining multi-armed bandits and genetic algorithms, which achieves superior performance with fewer simulations and proven convergence to global optima.
This paper proposes a new algorithm, referred to as GMAB, that combines concepts from the reinforcement learning domain of multi-armed bandits and random search strategies from the domain of genetic algorithms to solve discrete stochastic optimization problems via simulation. In particular, the focus is on noisy large-scale problems, which often involve a multitude of dimensions as well as multiple local optima. Our aim is to combine the property of multi-armed bandits to cope with volatile simulation observations with the ability of genetic algorithms to handle high-dimensional solution spaces accompanied by an enormous number of feasible solutions. For this purpose, a multi-armed bandit framework serves as a foundation, where each observed simulation is incorporated into the memory of GMAB. Based on this memory, genetic operators guide the search, as they provide powerful tools for exploration as well as exploitation. The empirical results demonstrate that GMAB achieves superior performance compared to benchmark algorithms from the literature in a large variety of test problems. In all experiments, GMAB required considerably fewer simulations to achieve similar or (far) better solutions than those generated by existing methods. At the same time, GMAB's overhead with regard to the required runtime is extremely small due to the suggested tree-based implementation of its memory. Furthermore, we prove its convergence to the set of global optima as the simulation effort goes to infinity.