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Spotlight

An Optimal Elimination Algorithm for Learning a Best Arm

Avinatan Hassidim · Ron Kupfer · Yaron Singer

Orals & Spotlights: Learning Theory

Abstract: We consider the classic problem of (ϵ,δ)(ϵ,δ)-\texttt{PAC} learning a best arm where the goal is to identify with confidence 1δ1δ an arm whose mean is an ϵϵ-approximation to that of the highest mean arm in a multi-armed bandit setting. This problem is one of the most fundamental problems in statistics and learning theory, yet somewhat surprisingly its worst case sample complexity is not well understood. In this paper we propose a new approach for (ϵ,δ)(ϵ,δ)-\texttt{PAC} learning a best arm. This approach leads to an algorithm whose sample complexity converges to \emph{exactly} the optimal sample complexity of (ϵ,δ)(ϵ,δ)-learning the mean of nn arms separately and we complement this result with a conditional matching lower bound. More specifically: \begin{itemize} \item The algorithm's sample complexity converges to \emph{exactly} $\frac{n}{2\epsilon^2}\log \frac{1}{\delta}$ as $n$ grows and $\delta \geq \frac{1}{n}$;   % \item We prove that no elimination algorithm obtains sample complexity arbitrarily lower than $\frac{n}{2\epsilon^2}\log \frac{1}{\delta}$.  Elimination algorithms is a broad class of $(\epsilon,\delta)$-\texttt{PAC} best arm learning algorithms that includes many algorithms in the literature.    \end{itemize}\begin{itemize}
\item The algorithm's sample complexity converges to \emph{exactly} $\frac{n}{2\epsilon^2}\log \frac{1}{\delta}$ as $n$ grows and $\delta \geq \frac{1}{n}$;  
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\item We prove that no elimination algorithm obtains sample complexity arbitrarily lower than $\frac{n}{2\epsilon^2}\log \frac{1}{\delta}$.  Elimination algorithms is a broad class of $(\epsilon,\delta)$-\texttt{PAC} best arm learning algorithms that includes many algorithms in the literature.   
\end{itemize}
When nn is independent of δδ our approach yields an algorithm whose sample complexity converges to 2nϵ2log1δ2nϵ2log1δ as nn grows. In comparison with the best known algorithm for this problem our approach improves the sample complexity by a factor of over 1500 and over 6000 when δ1nδ1n.

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