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Sampling from distributions to find the one with the largest mean arises in a broad range of applications, and it can be mathematically modeled as a multi-armed bandit problem in which each distribution is associated with an arm. This paper studies the sample complexity of identifying the best arm (largest mean) in a multi-armed bandit problem. Motivated by large-scale applications, we are especially interested in identifying situations where the total number of samples that are necessary and sufficient to find the best arm scale linearly with the number of arms. We present a single-parameter multi-armed bandit model that spans the range from linear to superlinear sample complexity. We also give a new algorithm for best arm identification, called PRISM, with linear sample complexity for a wide range of mean distributions. The algorithm, like most exploration procedures for multi-armed bandits, is adaptive in the sense that the next arms to sample are selected based on previous samples. We compare the sample complexity of adaptive procedures with simpler non-adaptive procedures using new lower bounds. For many problem instances, the increased sample complexity required by non-adaptive procedures is a polynomial factor of the number of arms.
Recent advances in deep representation learning on Riemannian manifolds extend classical deep learning operations to better capture the geometry of the manifold. One possible extension is the Frechet mean, the generalization of the Euclidean mean; ho
Counterfactual inference has become a ubiquitous tool in online advertisement, recommendation systems, medical diagnosis, and econometrics. Accurate modeling of outcome distributions associated with different interventions -- known as counterfactual
Conformal prediction constructs a confidence set for an unobserved response of a feature vector based on previous identically distributed and exchangeable observations of responses and features. It has a coverage guarantee at any nominal level withou
Data-driven modeling increasingly requires to find a Nash equilibrium in multi-player games, e.g. when training GANs. In this paper, we analyse a new extra-gradient method for Nash equilibrium finding, that performs gradient extrapolations and update
The Rooted Maximum Leaf Outbranching problem consists in finding a spanning directed tree rooted at some prescribed vertex of a digraph with the maximum number of leaves. Its parameterized version asks if there exists such a tree with at least $k$ le