Bayesian Optimization for Policy Search via Online-Offline Experimentation
Benjamin Letham, Eytan Bakshy; 20(145):1−30, 2019.
Online field experiments are the gold-standard way of evaluating changes to real-world interactive machine learning systems. Yet our ability to explore complex, multi-dimensional policy spaces—such as those found in recommendation and ranking problems—is often constrained by the limited number of experiments that can be run simultaneously. To alleviate these constraints, we augment online experiments with an offline simulator and apply multi-task Bayesian optimization to tune live machine learning systems. We describe practical issues that arise in these types of applications, including biases that arise from using a simulator and assumptions for the multi-task kernel. We measure empirical learning curves which show substantial gains from including data from biased offline experiments, and show how these learning curves are consistent with theoretical results for multi-task Gaussian process generalization. We find that improved kernel inference is a significant driver of multi-task generalization. Finally, we show several examples of Bayesian optimization efficiently tuning a live machine learning system by combining offline and online experiments.
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