Sampling Allocation of LinUCB: Optimal Design Limits in the Small-Gap Regime

We study the sampling allocation of LinUCB in the small-gap regime, where the reward gaps are of order at most n-1/2 over the decision horizon n. This scaling captures the hard instances underlying worst-case regret lower bounds, for which LinUCB is known to be near optimal up to logarithmic factors in n. Using a mean-field perspective, we characterize this allocation through the empirical sampling distribution, a macroscopic object that averages the effect of adaptive decisions over the horizon, and identify its limit as n→∞. We establish that in this regime, the empirical sampling distribution induced by LinUCB converges to the set of D-optimal designs. This central result reveals that, in the small-gap regime, LinUCB not only achieves near optimal minimax regret but also allocates samples in a way that is asymptotically efficient for learning the reward parameter, thereby connecting regret-driven online learning with information-efficient experimental design. Building on the optimal design limit, we obtain two useful consequences. First, we refine the asymptotic regret analysis of LinUCB in the small-gap regime by characterizing its leading-order constant in the limit. Second, we show that, despite LinUCB's adaptive sampling strategy, the regularized least-squares estimator satisfies a central-limit-type theorem in the small-gap regime, thereby enabling valid statistical inference for the reward parameter.