Gap Entropy and Almost Instance-Wise Optimal Best-Arm Identification

2026-09-12

AI Summary

本文解决了最优臂识别问题，通过提出一种算法，在未知各臂均值的情况下，以尽可能少的样本数找到均值最大的臂，并证明了该算法在实例级别上的最优性。

Abstract

In the best-arm identification problem, we are given $n$ stochastic arms with unknown means and wish to identify the arm with the largest mean with probability at least $1-δ$, using as few samples as possible. We consider independent Gaussian rewards with unit variance and means in $[0,1]$. Chen and Li [2016] conjectured that the instance-wise sample complexity of this problem is characterized by the gap entropy, up to an additive term arising from the two-arm problem. In this paper, we resolve their gap-entropy and almost instance-wise optimality conjectures. For an instance $I$, let $Δ_{[i]}$ be the gap between the largest and the $i$-th largest mean, let $H(I)=\sum_{i=2}^{n}Δ_{[i]}^{-2}$, and let Ent$(I)$ denote the entropy of the normalized complexities of its dyadic gap groups. For every $0<δ<0.1$, we show that the order-oblivious instance-wise lower bound is $ Θ (H(I)[\log(1/δ)+Ent(I)]). $ We also give a single $δ$-correct algorithm with expected sample complexity $ O ( H(I)[\log(1/δ)+Ent(I)] +D\log(e+\log(e+D))),D=Δ_{[2]}^{-2}, $ without prior knowledge of the gaps. Our lower bound removes the dyadic-gap and monotonicity restrictions of previous work, and our upper bound removes the additional polylogarithmic factor multiplying the two-arm term. Thus, a single algorithm attains the instance-wise lower bound up to an additive two-arm term. The main theorems have been formalized and proved in Lean 4.

Problem

• best-arm identification
• sample complexity
• gap entropy
• instance-wise optimality

Innovation

• Gap Entropy
• Instance-Wise Optimal
• Best-Arm Identification