arXiv:2506.02386cs.LGcs.AI2025-06中稿 · the Conference on …被引 1

提出最优线性可行臂识别算法,误差概率指数级下降。

Asymptotically Optimal Linear Best Feasible Arm Identification with Fixed Budget

  • 基于博弈采样框架设计新算法,融合最小学习者与最大学习者策略。
  • 误差概率衰减速率逼近信息论下界,实现渐近最优。
  • 适用于固定预算下需高精度选最优可行方案的场景。

在固定预算下识别最佳可行臂的问题近年来受到广泛关注。然而,在较为简单的高斯噪声多臂老虎机设定中,误差概率趋于零的精确指数速率仍未明确。本文在线性老虎机框架下解决该问题,提出一种新算法,可保证误差概率呈指数衰减。其衰减速率——由指数刻画——恰好匹配基于信息论推导出的理论下界。该方法采用嵌入博弈采样规则的后验采样框架,包含一个最小学习者与一个最大学习者,其思想虽源于汤普森采样,但专为固定预算下的最优识别任务优化。我们通过在多种复杂度问题实例上的全面实验验证了算法有效性,结果支持理论分析,并表明本方法在准确率与效率上均优于多个基准算法。

原文摘要 · Abstract (English)

The challenge of identifying the best feasible arm within a fixed budget has attracted considerable interest in recent years. However, a notable gap remains in the literature: the exact exponential rate at which the error probability approaches zero has yet to be established, even in the relatively simple setting of $K$-armed bandits with Gaussian noise. In this paper, we address this gap by examining the problem within the context of linear bandits. We introduce a novel algorithm for best feasible arm identification that guarantees an exponential decay in the error probability. Remarkably, the decay rate -- characterized by the exponent -- matches the theoretical lower bound derived using information-theoretic principles. Our approach leverages a posterior sampling framework embedded within a game-based sampling rule involving a min-learner and a max-learner. This strategy shares its foundations with Thompson sampling, but is specifically tailored to optimize the identification process under fixed-budget constraints. Furthermore, we validate the effectiveness of our algorithm through comprehensive empirical evaluations across various problem instances with different levels of complexity. The results corroborate our theoretical findings and demonstrate that our method outperforms several benchmark algorithms in terms of both accuracy and efficiency.

多臂老虎机最优识别固定预算线性模型

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