9 research outputs found
Learning to detect an oddball target with observations from an exponential family
The problem of detecting an odd arm from a set of K arms of a multi-armed
bandit, with fixed confidence, is studied in a sequential decision-making
scenario. Each arm's signal follows a distribution from a vector exponential
family. All arms have the same parameters except the odd arm. The actual
parameters of the odd and non-odd arms are unknown to the decision maker.
Further, the decision maker incurs a cost for switching from one arm to
another. This is a sequential decision making problem where the decision maker
gets only a limited view of the true state of nature at each stage, but can
control his view by choosing the arm to observe at each stage. Of interest are
policies that satisfy a given constraint on the probability of false detection.
An information-theoretic lower bound on the total cost (expected time for a
reliable decision plus total switching cost) is first identified, and a
variation on a sequential policy based on the generalised likelihood ratio
statistic is then studied. Thanks to the vector exponential family assumption,
the signal processing in this policy at each stage turns out to be very simple,
in that the associated conjugate prior enables easy updates of the posterior
distribution of the model parameters. The policy, with a suitable threshold, is
shown to satisfy the given constraint on the probability of false detection.
Further, the proposed policy is asymptotically optimal in terms of the total
cost among all policies that satisfy the constraint on the probability of false
detection
Sequential Multi-hypothesis Testing in Multi-armed Bandit Problems:An Approach for Asymptotic Optimality
We consider a multi-hypothesis testing problem involving a K-armed bandit.
Each arm's signal follows a distribution from a vector exponential family. The
actual parameters of the arms are unknown to the decision maker. The decision
maker incurs a delay cost for delay until a decision and a switching cost
whenever he switches from one arm to another. His goal is to minimise the
overall cost until a decision is reached on the true hypothesis. Of interest
are policies that satisfy a given constraint on the probability of false
detection. This is a sequential decision making problem where the decision
maker gets only a limited view of the true state of nature at each stage, but
can control his view by choosing the arm to observe at each stage. An
information-theoretic lower bound on the total cost (expected time for a
reliable decision plus total switching cost) is first identified, and a
variation on a sequential policy based on the generalised likelihood ratio
statistic is then studied. Due to the vector exponential family assumption, the
signal processing at each stage is simple; the associated conjugate prior
distribution on the unknown model parameters enables easy updates of the
posterior distribution. The proposed policy, with a suitable threshold for
stopping, is shown to satisfy the given constraint on the probability of false
detection. Under a continuous selection assumption, the policy is also shown to
be asymptotically optimal in terms of the total cost among all policies that
satisfy the constraint on the probability of false detection
Neural Dissimilarity Indices That Predict Oddball Detection in Behaviour
Neuroscientists have recently shown that images that are difficult to find in visual search elicit similar patterns of firing across a population of recorded neurons. The L-1 distance between firing rate vectors associated with two images was strongly correlated with the inverse of decision time in behavior. But why should decision times be correlated with L-1 distance? What is the decision-theoretic basis? In our decision theoretic formulation, we model visual search as an active sequential hypothesis testing problem with switching costs. Our analysis suggests an appropriate neuronal dissimilarity index, which correlates equally strongly with the inverse of decision time as the L-1 distance. We also consider a number of other possibilities, such as the relative entropy (Kullback-Leibler divergence) and the Chernoff entropy of the firing rate distributions. A more stringent test of equality of means, which would have provided a strong backing for our modeling, fails for our proposed as well as the other already discussed dissimilarity indices. However, test statistics from the equality of means test, when used to rank the indices in terms of their ability to explain the observed results, places our proposed dissimilarity index at the top followed by relative entropy, Chernoff entropy, and the L-1 indices. Computations of the different indices require an estimate of the relative entropy between two Poisson point processes. An estimator is developed and is shown to have near unbiased performance for almost all operating regions