Problem Dependent View on Structured Thresholding Bandit Problems

James Cheshire · Pierre MENARD · Alexandra Carpentier

Keywords: [ Bandits ] [ Online Learning ] [ Algorithms ] [ Reinforcement Learning and Planning ] [ Bandit Algorithms ]

Abstract: We investigate the \textit{problem dependent regime} in the stochastic \emph{Thresholding Bandit problem} (\tbp) under several \emph{shape constraints}. In the \tbp the objective of the learner is to output, after interacting with the environment, the set of arms whose means are above a given threshold. The vanilla, unstructured, case is already well studied in the literature. Taking $K$ as the number of arms, we consider the case where (i) the sequence of arm's means $(\mu_k){k=1}^K$ is monotonically increasing (\textit{MTBP}) and (ii) the case where $(\mu_k){k=1}^K$ is concave (\textit{CTBP}). We consider both cases in the \emph{problem dependent} regime and study the probability of error - i.e.~the probability to mis-classify at least one arm. In the fixed budget setting, we provide nearly matching upper and lower bounds for the probability of error in both the concave and monotone settings, as well as associated algorithms. Of interest, is that for both the monotone and concave cases, optimal bounds on probability of error are of the same order as those for the two armed bandit problem.

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