mlsanityData to 7 Oct 2026

Where Does the Union Bound Go? Best-Arm Identification and Strong FWER Control

arXiv 2608.19903 ↗First posted 20 Aug 2026stat.ME cs.LG stat.MLcited by 0

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Abstract (arXiv)

In fixed-confidence best-arm identification, proofs often use a union bound across the competing arms. From a multiple-testing point of view this can look puzzling: if the best arm is unique, only one hypothesis of the form ``arm i is best'' can be true. Why then should there be a Bonferroni-type factor of K-1? The answer is that there are two natural ways to orient the hypotheses. In one orientation, best-arm identification is literally a strong familywise-error-rate (FWER) problem with K-1 true nulls. In the opposite orientation, exactly one null is true, but a pairwise implementation can falsely reject that one null through any of K-1 comparisons. Thus the multiplicity has not disappeared; it just pops up in different places. This note makes the equivalence explicit in the terminology of both communities.

Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 3 of its 14 references that are in the map. First posted on arXiv 20 Aug 2026.

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3 of 14 references.

References · 3

  1. 2016Optimal Best Arm Identification with Fixed Confidencecited by 233
  2. 2018Mixture Martingales Revisited with Applications to Sequential Tests and Confidence Intervalscited by 76
  3. 2020An Empirical Process Approach to the Union Bound: Practical Algorithms for Combinatorial and Linear Banditscited by 45

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