Bandit-Based Monte Carlo Optimization for Nearest Neighbors

Code

• github.com/govinda-kamath/combinatorial_MAB
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Abstract

The celebrated Monte Carlo method estimates an expensive-to-compute quantity by random sampling. Bandit-based Monte Carlo optimization is a general technique for computing the minimum of many such expensive-to-compute quantities by adaptive random sampling. The technique converts an optimization problem into a statistical estimation problem which is then solved via multi-armed bandits. We apply this technique to solve the problem of high-dimensional k-nearest neighbors, developing an algorithm which we prove is able to identify exact nearest neighbors with high probability. We show that under regularity assumptions on a dataset of n points in d-dimensional space, the complexity of our algorithm scales logarithmically with the dimension of the data as O((n+d)^2 (nd)) for error probability , rather than linearly as in exact computation requiring O(nd). We corroborate our theoretical results with numerical simulations, showing that our algorithm outperforms both exact computation and state-of-the-art algorithms such as kGraph, NGT, and LSH on real datasets.

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Reproductions