Web: http://arxiv.org/abs/2201.10142

Jan. 26, 2022, 2:11 a.m. | Yunlong Hou, Vincent Y. F. Tan, Zixin Zhong

cs.LG updates on arXiv.org arxiv.org

We design and analyze VA-LUCB, a parameter-free algorithm, for identifying
the best arm under the fixed-confidence setup and under a stringent constraint
that the variance of the chosen arm is strictly smaller than a given threshold.
An upper bound on VA-LUCB's sample complexity is shown to be characterized by a
fundamental variance-aware hardness quantity $H_{VA}$. By proving a lower
bound, we show that sample complexity of VA-LUCB is optimal up to a factor
logarithmic in $H_{VA}$. Extensive experiments corroborate the …

arm arxiv identification variance

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