Exploration with Model Uncertainty at Extreme Scale in Real-Time Bidding
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In this work, we present a scalable and efficient system for exploring the supply landscape in real-time bidding. The system directs exploration based on the predictive uncertainty of models used for click-through rate prediction and works in a high-throughput, low-latency environment. Through online A/B testing, we demonstrate that exploration with model uncertainty has a positive impact on model performance and business KPIs.
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