Open Bandit Pipeline: a research framework for bandit algorithms and off-policy evaluation

Docs | Google Group | Installation | Usage | Slides | Quickstart | Open Bandit Dataset | 日本語

Overview

Open Bandit Dataset (OBD)

Open Bandit Dataset is a public real-world logged bandit feedback data. The dataset is provided by ZOZO, Inc., the largest Japanese fashion e-commerce company with over 5 billion USD market capitalization (as of May 2020). The company uses multi-armed bandit algorithms to recommend fashion items to users in a large-scale fashion e-commerce platform called ZOZOTOWN. The following figure presents examples of displayed fashion items as actions.

We collected the data in a 7-day experiment in late November 2019 on three “campaigns,” corresponding to all, men's, and women's items, respectively. Each campaign randomly used either the Uniform Random policy or the Bernoulli Thompson Sampling (Bernoulli TS) policy for the data collection. This dataset is unique in that it contains a set of multiple logged bandit feedback datasets collected by running different policies on the same platform. This enables realistic and reproducible experimental comparisons of different OPE estimators for the first time (see our documentation for the details of the evaluation of OPE protocol with the Open Bandit Dataset).

The small size version of our data is available at obd. One can use this example data to run some examples. We release the full size version of our data at https://research.zozo.com/data.html. Please download the full size version for research uses. Please see obd/README.md for the dataset description.

Open Bandit Pipeline (OBP)

Open Bandit Pipeline is an open-source Python software including a series of modules for implementing dataset preprocessing, policy learning methods, and OPE estimators. Our software provides a complete, standardized experimental procedure for OPE research, ensuring that performance comparisons are fair, transparent, and reproducible. It also enables fast and accurate OPE implementation through a single unified interface, simplifying the practical use of OPE.

Open Bandit Pipeline consists of the following main modules.

• dataset module: This module provides a data loader for Open Bandit Dataset and a flexible interface for handling logged bandit feedback. It also provides tools to generate synthetic bandit data and transform multi-class classification data to bandit data.
• policy module: This module provides interfaces for implementing new online and offline bandit policies. It also implements several standard policy learning methods.
• simulator module: This module provides functions for conducting offline bandit simulation. This module is necessary only when we want to implement the ReplayMethod to evaluate the performance of online or adaptive bandit policies with logged bandit data. Please refer to examples/quickstart/online.ipynb for the quickstart guide of implementing OPE of online bandit algorithms.
• ope module: This module provides interfaces for implementing OPE estimators. It also implements several standard and advanced OPE estimators.

Algorithms and OPE Estimators Supported

Please refer to to our documentation for the basic formulation of OPE and the definitions of the estimators implemented. Note that, in addition to the above algorithms and estimators, the pipeline also provides flexible interfaces. Therefore, researchers can easily implement their own algorithms or estimators and evaluate them with our data and pipeline. Moreover, the pipeline provides an interface for handling real-world logged bandit feedback data. Thus, practitioners can combine their own data with the pipeline and easily evaluate bandit algorithms' performances in their settings with OPE.

Topics and Tasks

Currently, Open Bandit Dataset and Pipeline facilitate the following research topics or practical tasks.

Research

Researchers can evaluate the performance of their bandit algorithms (in bandit papers) or the accuracy of their OPE estimators (in OPE papers) in an easy, standardized manner with the Open Bandit Pipeline. One can implement these types of experiments for their research papers using synthetic bandit data, multi-class classification data, or the real-world Open Bandit Dataset.

• Evaluation of Bandit Algorithms with Synthetic/Classification/Open Bandit Data
• Evaluation of OPE with Synthetic/Classification/Open Bandit Data

In particular, we prepare some example experiments about the evaluation and comparison of OPE estimators in examples. One can learn how to implement the OPE experiments with the pipeline from the example contents.

Practice

Practitioners can improve their automated decision making systems using online/batch bandit policies implemented in the policy module. Moreover, they can easily evaluate such bandit policies using historical logged bandit feedback data and OPE without A/B testing. Specifically, one can implement OPE of online bandit algorithms by combining the simulator module and the ReplayMethod in the ope module. Moreover, one can implement OPE of batch bandit algorithms with the standard OPE procedure introduced in examples/quickstart/obd.ipynb.

• Implementing Online/Offline(Batch) Bandit Algorithms
• Off-Policy Evaluation of Online Bandit Algorithms
• Off-Policy Evaluation of Offline(Batch) Bandit Algorithms

Installation

You can install OBP using Python's package manager pip.

pip install obp

You can install OBP from source.

git clone https://github.com/st-tech/zr-obp
cd zr-obp
python setup.py install

Open Bandit Pipeline supports Python 3.7 or newer.

Usage Examples

Example with Synthetic Bandit Data

Here is an example of conducting OPE of the performance of IPWLearner as an evaluation policy using Direct Method (DM), Inverse Probability Weighting (IPW), Doubly Robust (DR) as OPE estimators.

# a case for implementing OPE of the IPWLearner using synthetic bandit data
from sklearn.linear_model import LogisticRegression
# import open bandit pipeline (obp)
from obp.dataset import SyntheticBanditDataset
from obp.policy import IPWLearner
from obp.ope import (
    OffPolicyEvaluation,
    RegressionModel,
    InverseProbabilityWeighting as IPW,
    DirectMethod as DM,
    DoublyRobust as DR,
)

# (1) Generate Synthetic Bandit Data
dataset = SyntheticBanditDataset(n_actions=10, reward_type="binary")
bandit_feedback_train = dataset.obtain_batch_bandit_feedback(n_rounds=1000)
bandit_feedback_test = dataset.obtain_batch_bandit_feedback(n_rounds=1000)

# (2) Off-Policy Learning
eval_policy = IPWLearner(n_actions=dataset.n_actions, base_classifier=LogisticRegression())
eval_policy.fit(
    context=bandit_feedback_train["context"],
    action=bandit_feedback_train["action"],
    reward=bandit_feedback_train["reward"],
    pscore=bandit_feedback_train["pscore"]
)
action_dist = eval_policy.predict(context=bandit_feedback_test["context"])

# (3) Off-Policy Evaluation
regression_model = RegressionModel(
    n_actions=dataset.n_actions,
    base_model=LogisticRegression(),
)
estimated_rewards_by_reg_model = regression_model.fit_predict(
    context=bandit_feedback_test["context"],
    action=bandit_feedback_test["action"],
    reward=bandit_feedback_test["reward"],
)
ope = OffPolicyEvaluation(
    bandit_feedback=bandit_feedback_test,
    ope_estimators=[IPW(), DM(), DR()]
)
ope.visualize_off_policy_estimates(
    action_dist=action_dist,
    estimated_rewards_by_reg_model=estimated_rewards_by_reg_model,
)

A formal quickstart example with synthetic bandit data is available at examples/quickstart/synthetic.ipynb. We also prepare a script to conduct the evaluation of OPE experiment with synthetic bandit data in examples/synthetic.

Example with Multi-Class Classification Data

Researchers often use multi-class classification data to evaluate the estimation accuracy of OPE estimators. Open Bandit Pipeline implements this kind of OPE experiments with multi-class classification data in an easy manner as follows.

# a case for implementing an experiment to evaluate the accuracy of OPE using classification data
from sklearn.datasets import load_digits
from sklearn.ensemble import RandomForestClassifier
from sklearn.linear_model import LogisticRegression
# import open bandit pipeline (obp)
from obp.dataset import MultiClassToBanditReduction
from obp.ope import OffPolicyEvaluation, InverseProbabilityWeighting as IPW

# (1) Data loading and multi-class to bandit reduction
X, y = load_digits(return_X_y=True)
dataset = MultiClassToBanditReduction(X=X, y=y, base_classifier_b=LogisticRegression(random_state=12345))
dataset.split_train_eval(eval_size=0.7, random_state=12345)
bandit_feedback = dataset.obtain_batch_bandit_feedback(random_state=12345)

# (2) Evaluation Policy Derivation
# obtain action choice probabilities by an evaluation policy and its ground-truth policy value
action_dist = dataset.obtain_action_dist_by_eval_policy(base_classifier_e=RandomForestClassifier(random_state=12345))
# calculate the ground-truth performance of the evaluation policy
ground_truth = dataset.calc_ground_truth_policy_value(action_dist=action_dist)
print(ground_truth)
0.9634340222575517

# (3) Off-Policy Evaluation and Evaluation of OPE
ope = OffPolicyEvaluation(bandit_feedback=bandit_feedback, ope_estimators=[IPW()])
# evaluate the estimation performance (accuracy) of IPW by the relative estimation error (relative-ee)
relative_estimation_errors = ope.evaluate_performance_of_estimators(
        ground_truth_policy_value=ground_truth,
        action_dist=action_dist,
        metric="relative-ee",
)
print(relative_estimation_errors)
{'ipw': 0.01827255896321327} # the accuracy of IPW in OPE

A formal quickstart example with multi-class classification data is available at examples/quickstart/multiclass.ipynb. We also prepare a script to conduct the evaluation of OPE experiment with multi-class classification data in examples/multiclass.

Example with Open Bandit Dataset

Here is an example of conducting OPE of the performance of BernoulliTS as an evaluation policy using Inverse Probability Weighting (IPW) and logged bandit feedback generated by the Random policy (behavior policy) on the ZOZOTOWN platform.

# a case for implementing OPE of the BernoulliTS policy using log data generated by the Random policy
from obp.dataset import OpenBanditDataset
from obp.policy import BernoulliTS
from obp.ope import OffPolicyEvaluation, InverseProbabilityWeighting as IPW

# (1) Data loading and preprocessing
dataset = OpenBanditDataset(behavior_policy='random', campaign='all')
bandit_feedback = dataset.obtain_batch_bandit_feedback()

# (2) Production Policy Replication
evaluation_policy = BernoulliTS(
    n_actions=dataset.n_actions,
    len_list=dataset.len_list,
    is_zozotown_prior=True, # replicate the policy in the ZOZOTOWN production
    campaign="all",
    random_state=12345
)
action_dist = evaluation_policy.compute_batch_action_dist(
    n_sim=100000, n_rounds=bandit_feedback["n_rounds"]
)

# (3) Off-Policy Evaluation
ope = OffPolicyEvaluation(bandit_feedback=bandit_feedback, ope_estimators=[IPW()])
estimated_policy_value = ope.estimate_policy_values(action_dist=action_dist)

# estimated performance of BernoulliTS relative to the ground-truth performance of Random
relative_policy_value_of_bernoulli_ts = estimated_policy_value['ipw'] / bandit_feedback['reward'].mean()
print(relative_policy_value_of_bernoulli_ts)
1.198126...

A formal quickstart example with Open Bandit Dataset is available at examples/quickstart/obd.ipynb. We also prepare a script to conduct the evaluation of OPE using the Open Bandit Dataset in examples/obd. Please see our documentation for the details of the evaluation of OPE protocol with the Open Bandit Dataset.

Citation

If you use our dataset and pipeline in your work, please cite our paper:

Yuta Saito, Shunsuke Aihara, Megumi Matsutani, Yusuke Narita.
Open Bandit Dataset and Pipeline: Towards Realistic and Reproducible Off-Policy Evaluation
https://arxiv.org/abs/2008.07146

Bibtex:

@article{saito2020open,
  title={Open Bandit Dataset and Pipeline: Towards Realistic and Reproducible Off-Policy Evaluation},
  author={Saito, Yuta and Shunsuke, Aihara and Megumi, Matsutani and Yusuke, Narita},
  journal={arXiv preprint arXiv:2008.07146},
  year={2020}
}

Google Group

If you are interested in the Open Bandit Project, we can follow the updates at its google group: https://groups.google.com/g/open-bandit-project

Contribution

Any contributions to the Open Bandit Pipeline are more than welcome! Please refer to CONTRIBUTING.md for general guidelines how to contribute to the project.

License

This project is licensed under the Apache 2.0 License - see the LICENSE file for details.

Project Team

• Yuta Saito (Main Contributor; Hanjuku-kaso Co., Ltd. / Tokyo Institute of Technology)
• Shunsuke Aihara (ZOZO Technologies, Inc.)
• Megumi Matsutani (ZOZO Technologies, Inc.)
• Yusuke Narita (Hanjuku-kaso Co., Ltd. / Yale University)

Contact

For any question about the paper, data, and pipeline, feel free to contact: [email protected]

References