Best-Arm Identification in Linear Bandits

NeurIPS 2014 • Marta Soare • Alessandro Lazaric • Rémi Munos

We study the best-arm identification problem in linear bandit, where the rewards of the arms depend linearly on an unknown parameter $\theta^*$ and the objective is to return the arm with the largest reward. We characterize the complexity of the problem and introduce sample allocation strategies that pull arms to identify the best arm with a fixed confidence, while minimizing the sample budget... (read more)

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