Optimization Experiments in the Continuous Space - The Limited Growth Optimistic Optimization Algorithm

Online controlled experiments are extensively used by web-facing companies to validate and optimize their systems, providing a competitive advantage in their business. As the number of experiments scale, companies aim to invest their experimentation resources in larger feature changes and leave the automated techniques to optimize smaller features. Optimization experiments in the continuous space are encompassed in the many-armed bandits class of problems. Although previous research provides algorithms for solving this class of problems, these algorithms were not implemented in real-world online experimentation problems and do not consider the application constraints, such as time to compute a solution, selection of a best arm and the estimation of the mean-reward function. This work discusses the online experiments in context of the many-armed bandits class of problems and provides three main contributions: (1) an algorithm modification to include online experiments constraints, (2) implementation of this algorithm in an industrial setting in collaboration with Sony Mobile, and (3) statistical evidence that supports the modification of the algorithm for online experiments scenarios. These contributions support the relevance of the LG-HOO algorithm in the context of optimization experiments and show how the algorithm can be used to support continuous optimization of online systems in stochastic scenarios.