Thresholding Bandit with Optimal Aggregate Regret

Part of Advances in Neural Information Processing Systems 32 (NeurIPS 2019)

AuthorFeedback »Bibtex »Bibtex »MetaReview »Metadata »Paper »Reviews »Supplemental »

Authors

Chao Tao, Saúl Blanco, Jian Peng, Yuan Zhou

Abstract

We consider the thresholding bandit problem, whose goal is to find arms of mean rewards above a given threshold $\theta$, with a fixed budget of $T$ trials. We introduce LSA, a new, simple and anytime algorithm that aims to minimize the aggregate regret (or the expected number of mis-classified arms). We prove that our algorithm is instance-wise asymptotically optimal. We also provide comprehensive empirical results to demonstrate the algorithm's superior performance over existing algorithms under a variety of different scenarios.