Max-Quantile Grouped Infinite-Arm Bandits. (arXiv:2210.01295v1 [stat.ML])

In this paper, we consider a bandit problem in which there are a number of
groups each consisting of infinitely many arms. Whenever a new arm is requested
from a given group, its mean reward is drawn from an unknown reservoir
distribution (different for each group), and the uncertainty in the arm's mean
reward can only be reduced via subsequent pulls of the arm. The goal is to
identify the infinite-arm group whose reservoir distribution has the highest
$(1-\alpha)$-quantile (e.g., …

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