Worst-Case Optimal Multi-Armed Gaussian Best Arm Identification with a Fixed Budget

arXiv:2310.19788v3 Announce Type: replace-cross
Abstract: This study investigates the experimental design problem for identifying the arm with the highest expected outcome, referred to as best arm identification (BAI). In our experiments, the number of treatment-allocation rounds is fixed. During each round, a decision-maker allocates an arm and observes a corresponding outcome, which follows a Gaussian distribution with variances that can differ among the arms. At the end of the experiment, the decision-maker recommends one of the arms as an estimate …

abstract arm arxiv budget case cs.lg decision design econ.em experimental identification maker math.st stat.me stat.ml stat.th study treatment type