The authors frame subset selection in SAM methods as a contextual bandit problem and apply the Exp4 algorithm, providing preliminary numerical results on synthetic problems.
https://github.com/POptUS/BenDFO, 2022
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Importance Sampling in Expensive Finite-Sum Optimization via Contextual Bandit Methods
The authors frame subset selection in SAM methods as a contextual bandit problem and apply the Exp4 algorithm, providing preliminary numerical results on synthetic problems.