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  4. Overlapping Multi-Bandit Best Arm Identification
 
conference paper

Overlapping Multi-Bandit Best Arm Identification

Scarlett, Jonathan
•
Bogunovic, Ilija
•
Cevher, Volkan  orcid-logo
2019
2019 IEEE International Symposium On Information Theory (Isit)
The 2019 IEEE International Symposium on Information Theory (ISIT)

In the multi-armed bandit literature, the multi-bandit best-arm identification problem consists of determining each best arm in a number of disjoint groups of arms, with as few total arm pulls as possible. In this paper, we introduce a variant of the multi-bandit problem with overlapping groups, and present two algorithms for this problem based on successive elimination and lower/upper confidence bounds (LUCB). We bound the number of total arm pulls required for high-probability best-arm identification in every group, and we complement these bounds with a near-matching algorithm-independent lower bound. In addition, we show that a specific choice of the groups recovers the top-k ranking problem.

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