An Optimal Elimination Algorithm for Learning a Best Arm

20 Jun 2020Avinatan HassidimRon KupferYaron Singer

We consider the classic problem of $(\epsilon,\delta)$-PAC learning a best arm where the goal is to identify with confidence $1-\delta$ an arm whose mean is an $\epsilon$-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... (read more)

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