Robust Outlier Arm Identification

We study the problem of Robust Outlier Arm Identification (ROAI), where the goal is to identify arms whose expected rewards deviate substantially from the majority, by adaptively sampling from their reward distributions. We compute the outlier threshold using the median and median absolute deviation of the expected rewards. This is a robust choice for the threshold compared to using the mean and standard deviation, since it can correctly identify outlier arms even in the presence of extreme outlier values. Our setting is different from existing pure exploration problems where the threshold is pre-specified as a given value or rank. This is useful in applications where the goal is to identify the set of promising items but the cardinality of this set is unknown, such as finding promising drugs for a new disease or identifying items favored by a population. We propose two computationally efficient $\delta$-PAC algorithms for ROAI, which includes the first UCB-style algorithm for outlier detection, and derive upper bounds on their sample complexity. We also prove a matching, up to logarithmic factors, worst case lower bound for the problem, indicating that our upper bounds are generally unimprovable. Experimental results show that our algorithms are both robust and at least $5$x sample efficient compared to state-of-the-art.