arXiv (Cornell University) · 2016 · 103 citations · 27 references
Natural SciencesComputer ScienceAlgorithmsProbability TheoryStochastic ProcessesMonte Carlo MethodsOptimal StoppingSampling TheoryStochastic OptimizationBandit AlgorithmsBest Arm IdentificationComplexityEarly StoppingSample ComplexitySample Complexity AnalysisSamplingStochastic Bandits
We give a complete characterization of the complexity of best-arm identification in one-parameter bandit problems. We prove a new, tight lower bound on the sample complexity. We propose the `Track-and-Stop' strategy, which we prove to be asymptotically optimal. It consists in a new sampling rule (which tracks the optimal proportions of arm draws highlighted by the lower bound) and in a stopping rule named after Chernoff, for which we give a new analysis.
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