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Optimal Best Arm Identification with Fixed Confidence

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Optimal Best Arm Identification with Fixed Confidence
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4
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10
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CC Attribution 3.0 Unported:
You are free to use, adapt and copy, distribute and transmit the work or content in adapted or unchanged form for any legal purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
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Abstract
This talk proposes a complete characterization of the complexity of best-arm identification in one-parameter bandit models. We first give a new, tight lower bound on the sample complexity, that is the total number of draws of the arms needed in order to identify the arm with highest mean with a prescribed accuracy. This lower bound does not take an explicit form, but reveals the existence of a vector of optimal proportions of draws of the arms, that can be computed efficiently. We then propose a 'Track-and-Stop' strategy, whose sample complexity is proved to asymptotically match the lower bound. It consists in a new sampling rule, which tracks the optimal proportions of arm draws, and a stopping rule for which we propose several interpretations and that can be traced back to Chernoff (1959).