Asymptotically Optimal Fixed-Budget Best Arm Identification with Variance-Dependent Bounds
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Abstract (arXiv)
We investigate the problem of fixed-budget best arm identification (BAI) for minimizing expected simple regret. In an adaptive experiment, a decision maker draws one of multiple treatment arms based on past observations and observes the outcome of the drawn arm. After the experiment, the decision maker recommends the treatment arm with the highest expected outcome. We evaluate the decision based on the expected simple regret, which is the difference between the expected outcomes of the best arm and the recommended arm. Due to inherent uncertainty, we evaluate the regret using the minimax criterion. First, we derive asymptotic lower bounds for the worst-case expected simple regret, which are characterized by the variances of potential outcomes (leading factor). Based on the lower bounds, we propose the Two-Stage (TS)-Hirano-Imbens-Ridder (HIR) strategy, which utilizes the HIR estimator (Hirano et al., 2003) in recommending the best arm. Our theoretical analysis shows that the TS-HIR strategy is asymptotically minimax optimal, meaning that the leading factor of its worst-case expected simple regret matches our derived worst-case lower bound. Additionally, we consider extensions of our method, such as the asymptotic optimality for the probability of misidentification. Finally, we validate the proposed method's effectiveness through simulations.
Key facts. Cited by 3 papers in the map (data through 14 Oct 2026). Builds on 23 of its 90 references that are in the map. First posted on arXiv 6 Feb 2023.
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23 of 90 references.
References · 23
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11 more
- 2021Policy Choice and Best Arm Identification: Asymptotic Analysis of Exploration Samplingcited by 15
- 2018Stratification Trees for Adaptive Randomization in Randomized Controlled Trialscited by 14
- 2022Bayesian Fixed-Budget Best-Arm Identificationcited by 13
- 2022Adversarially Robust Multi-Armed Bandit Algorithm with Variance-Dependent Regret Boundscited by 12
- 2021Efficient Online Estimation of Causal Effects by Deciding What to Observecited by 11
- 2021The Role of Contextual Information in Best Arm Identificationcited by 8
- 2022Asymptotic Efficiency Bounds for a Class of Experimental Designscited by 8
- 2022On Best-Arm Identification with a Fixed Budget in Non-Parametric Multi-Armed Banditscited by 8
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- 2020Treatment recommendation with distributional targetscited by 2
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