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Optimal Best Arm Identification with Fixed Budget

Let S\mathcal S be a class of kk-armed bandit instances with a unique best arm. A fixed-budget algorithm adaptively selects nn samples and outputs I^n\widehat I_n; write pμ,n=Pr⁡μ(I^n≠I∗(μ))p_{\mu,n}=\Pr_\mu(\widehat I_n\neq I^*(\mu)).

Problem 1.

Do there exist a natural algorithm class A\mathcal A and a function Γfb∗ ⁣:S→R\Gamma^*_{\mathrm{fb}}\colon\mathcal S\to\mathbb R such that every algorithm in A\mathcal A satisfies

lim inf⁡n→∞nlog⁡(1/pμ,n)≥Γfb∗(μ)(μ∈S), \liminf_{n\to\infty}\frac{n}{\log(1/p_{\mu,n})} \geq\Gamma^*_{\mathrm{fb}}(\mu) \qquad(\mu\in\mathcal S),

and some algorithm in A\mathcal A satisfies the matching upper bound with lim sup⁡\limsup? The class should be more informative than mere consistency; one candidate contains algorithms that are uniformly no worse than uniform sampling.

Problem 2.

Is there an algorithm other than uniform sampling itself that performs uniformly no worse than uniform sampling in the fixed-budget setting, for every μ∈S\mu\in\mathcal S, in terms of the asymptotic error exponent lim sup⁡n→∞n/log⁡(1/pμ,n)\limsup_{n\to\infty}n/\log(1/p_{\mu,n})?

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Organizer

Boyuan Wang portraitBoyuan Wang
Minghan Wang portraitMinghan Wang
Bochao Li portraitBochao Li
Hongwei Hu portraitHongwei Hu