Good arm identification via bandit feedback

DOI10.1007/S10994-019-05784-4zbMATH Open1491.68160arXiv1710.06360OpenAlexW2962902250WikidataQ128264264 ScholiaQ128264264MaRDI QIDQ2425222FDOQ2425222

Atsuyoshi Nakamura, Masashi Sugiyama, Kentaro Matsuura, Kentaro Sakamaki, Hideaki Kano, Junya Honda

Publication date: 26 June 2019

Published in: Machine Learning (Search for Journal in Brave)

Abstract: We consider a novel stochastic multi-armed bandit problem called {em good arm identification} (GAI), where a good arm is defined as an arm with expected reward greater than or equal to a given threshold. GAI is a pure-exploration problem that a single agent repeats a process of outputting an arm as soon as it is identified as a good one before confirming the other arms are actually not good. The objective of GAI is to minimize the number of samples for each process. We find that GAI faces a new kind of dilemma, the {em exploration-exploitation dilemma of confidence}, which is different difficulty from the best arm identification. As a result, an efficient design of algorithms for GAI is quite different from that for the best arm identification. We derive a lower bound on the sample complexity of GAI that is tight up to the logarithmic factor $mathrmO(logfrac1delta)$ for acceptance error rate $delta$. We also develop an algorithm whose sample complexity almost matches the lower bound. We also confirm experimentally that our proposed algorithm outperforms naive algorithms in synthetic settings based on a conventional bandit problem and clinical trial researches for rheumatoid arthritis.

Full work available at URL: https://arxiv.org/abs/1710.06360

zbMATH Keywords

machine learningreinforcement learningmulti-armed banditsthresholding bandits

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (3)

• Best arm identification in generalized linear bandits
• A bad arm existence checking problem: how to utilize asymmetric problem structure?
• A PAC algorithm in relative precision for bandit problem with costly sampling

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