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Optimal Streaming Algorithms for Multi-Armed Bandits

Tianyuan Jin, Keke Huang, Jing Tang, Xiaokui Xiao

[ Abstract ] [ Livestream: Visit Bandits 3 ] [ Paper ]

This paper studies two variants of the best arm identification (BAI) problem under the streaming model, where we have a stream of n arms with reward distributions supported on [0,1] with unknown means. The arms in the stream are arriving one by one, and the algorithm cannot access an arm unless it is stored in a limited size memory.

We first study the streaming \epslion-topk-arms identification problem, which asks for k arms whose reward means are lower than that of the k-th best arm by at most \epsilon with probability at least 1-\delta. For general \epsilon \in (0,1), the existing solution for this problem assumes k = 1 and achieves the optimal sample complexity O(\frac{n}{\epsilon^2} \log \frac{1}{\delta}) using O(\log^*(n)) memory and a single pass of the stream. We propose an algorithm that works for any k and achieves the optimal sample complexity O(\frac{n}{\epsilon^2} \log\frac{k}{\delta}) using a single-arm memory and a single pass of the stream.

Second, we study the streaming BAI problem, where the objective is to identify the arm with the maximum reward mean with at least 1-\delta probability, using a single-arm memory and as few passes of the input stream as possible. We present a single-arm-memory algorithm that achieves a near instance-dependent optimal sample complexity within O(\log \Delta2^{-1}) passes, where \Delta2 is the gap between the mean of the best arm and that of the second best arm.

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