lil' UCB : An Optimal Exploration Algorithm for Multi-Armed Bandits

@inproceedings{Jamieson2014lilU,
  title={lil' UCB : An Optimal Exploration Algorithm for Multi-Armed Bandits},
  author={Kevin G. Jamieson and Matthew Malloy and Robert D. Nowak and S{\'e}bastien Bubeck},
  booktitle={COLT},
  year={2014}
}
The paper proposes a novel upper confidence bound (UCB) procedure for identifying the arm with the largest mean in a multi-armed bandit game in the fixed confidence setting using a small number of total samples. The procedure cannot be improved in the sense that the number of samples required to identify the best arm is within a constant factor of a lower bound based on the law of the iterated logarithm (LIL). Inspired by the LIL, we construct our confidence bounds to explicitly account for the… CONTINUE READING
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