Generic Outlier Detection in Multi-Armed Bandit

Yikun Ban, Jingrui He

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, we study the problem of outlier arm detection in multi-armed bandit settings, which finds plenty of applications in many high-impact domains such as finance, healthcare, and online advertising. For this problem, a learner aims to identify the arms whose expected rewards deviate significantly from most of the other arms. Different from existing work, we target the generic outlier arms or outlier arm groups whose expected rewards can be larger, smaller, or even in between those of normal arms. To this end, we start by providing a comprehensive definition of such generic outlier arms and outlier arm groups. Then we propose a novel pulling algorithm named GOLD to identify such generic outlier arms. It builds a real-time neighborhood graph based on upper confidence bounds and catches the behavior pattern of outliers from normal arms. We also analyze its performance from various aspects. In the experiments conducted on both synthetic and real-world data sets, the proposed algorithm achieves 98% accuracy while saving 83% exploration cost on average compared with state-of-the-art techniques.

Original languageEnglish (US)
Title of host publicationKDD 2020 - Proceedings of the 26th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining
PublisherAssociation for Computing Machinery
Pages913-923
Number of pages11
ISBN (Electronic)9781450379984
DOIs
StatePublished - Aug 23 2020
Event26th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining, KDD 2020 - Virtual, Online, United States
Duration: Aug 23 2020Aug 27 2020

Publication series

NameProceedings of the ACM SIGKDD International Conference on Knowledge Discovery and Data Mining

Conference

Conference26th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining, KDD 2020
CountryUnited States
CityVirtual, Online
Period8/23/208/27/20

Keywords

  • anomaly detection
  • bandit algorithms
  • multi-armed bandit
  • outlier detection

ASJC Scopus subject areas

  • Software
  • Information Systems

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