Nearly Instance Optimal Sample Complexity Bounds for Top-k Arm Selection

In the Best-k-Arm problem, we are given n stochastic bandit arms, each associated with an unknown reward distribution. We are required to identify the k arms with the largest means by taking as few samples as possible. In this paper, we make progress towards a complete characterization of the instance-wise sample complexity bounds for the Best-k-Arm problem. On the lower bound side, we obtain a novel complexity term to measure the sample complexity that every Best-k-Arm instance requires. This is derived by an interesting and nontrivial reduction from the Best-1-Arm problem. We also provide an elimination-based algorithm that matches the instance-wise lower bound within doubly-logarithmic factors. The sample complexity of our algorithm strictly dominates the state-of-the-art for Best-k-Arm (module constant factors).