Title:On the Power of Adaptivity for $\varepsilon$-Best Arm Identification in Linear Bandits

Abstract:We study the minimax sample complexity of $\varepsilon$-best arm identification in linear bandits. Given a compact action set $\mathcal{X}$ that spans $\mathbb{R}^d$ and an unknown reward vector $\theta\in\mathbb{R}^d$, the goal is to output an arm $\widehat{x}\in\mathcal{X}$ such that $\langle \widehat{x},\theta\rangle \ge \max_{x\in\mathcal{X}} \langle x,\theta\rangle - \varepsilon$ with probability at least $1-\delta$, using as few samples as possible.
First, we present a non-adaptive fixed-design method with sample complexity $\mathcal{O}\!\left(\frac{d\log(1/\delta)}{\varepsilon^2}+\frac{w(\mathcal{X})^2}{\varepsilon^2}\right)$, where $w(\mathcal{X})$ is a Gaussian width term dependent on $\mathcal{X}$, and we prove a matching lower bound $\Omega\!\left(\frac{d\log(1/\delta)}{\varepsilon^2}+\frac{w(\mathcal{X})^2}{\varepsilon^2}\right)$ for all non-adaptive fixed-design methods.
We then turn to adaptive sampling. We raise an important structural question: beyond the canonical basis, are there structured action sets for which adaptivity yields only logarithmic-factor improvements over the optimal non-adaptive rate? We answer in the affirmative for several natural action sets, namely the hypercube, the $\ell_2$ ball, $m$-sets, and multi-task multi-armed bandits.
Finally, we provide the first construction of an action set $\mathcal{X}$ for which adaptivity yields a polynomial-factor improvement over every non-adaptive algorithm. A key ingredient behind this separation is an $\ell_2$-norm estimation subroutine: we design an adaptive algorithm that uses $\mathcal{O}\!\left(\frac{d\log(1/\delta)}{\varepsilon^2}\right)$ samples from the unit $\ell_2$ ball in $\mathbb{R}^d$ and outputs an estimate $\widehat r$ satisfying $|\widehat r-\|\theta\|_2|\le \varepsilon$ with probability at least $1-\delta$, where $\theta$ is the unknown reward vector.

Bookmark

Bibliographic and Citation Tools

Code, Data and Media Associated with this Article

Demos

Recommenders and Search Tools