Publication
NeurIPS 2021
Conference paper

Mean-based Best Arm Identification in Stochastic Bandits under Reward Contamination

NeurIPS 2021
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Abstract

This paper investigates the problem of best arm identification in contaminated stochastic multi-arm bandits. In this setting, the rewards obtained from any arm are replaced by samples from an adversarial model with probability ε. A fixed confidence (infinite-horizon) setting is considered, where the goal of the learner is to identify the arm with the largest mean. Owing to the adversarial contamination of the rewards, each arm's mean is only partially identifiable. This paper proposes two algorithms, a gap-based algorithm and one based on the successive elimination, for best arm identification in sub-Gaussian bandits. These algorithms involve mean estimates that achieve the optimal error guarantee on the deviation of the true mean from the estimate asymptotically. Furthermore, these algorithms asymptotically achieve the optimal sample complexity. Specifically, for the gap-based algorithm, the sample complexity is asymptotically optimal up to constant factors, while for the successive elimination-based algorithm, it is optimal up to logarithmic factors. Finally, numerical experiments are provided to illustrate the gains of the algorithms compared to the existing baselines.

Date

06 Dec 2021

Publication

NeurIPS 2021

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