Ervin Tanczos, Robert Nowak, Bob Mankoff
This paper focuses on best-arm identification in multi-armed bandits with bounded rewards. We develop an algorithm that is a fusion of lil-UCB and KL-LUCB, offering the best qualities of the two algorithms in one method. This is achieved by proving a novel anytime confidence bound for the mean of bounded distributions, which is the analogue of the LIL-type bounds recently developed for sub-Gaussian distributions. We corroborate our theoretical results with numerical experiments based on the New Yorker Cartoon Caption Contest.