Thompson Exploration with Best Challenger Rule in Best Arm Identification

TL;DR

This paper introduces a novel bandit policy combining Thompson sampling with the best challenger rule, achieving asymptotic optimality and computational efficiency in best arm identification tasks.

Contribution

It proposes a new policy that leverages Thompson sampling with the best challenger rule, improving computational efficiency and asymptotic optimality in BAI.

Findings

Asymptotically optimal for two-armed bandits.

Near optimal for multi-armed bandits with K ≥ 3.

Competitive sample complexity with less computation.

Abstract

This paper studies the fixed-confidence best arm identification (BAI) problem in the bandit framework in the canonical single-parameter exponential models. For this problem, many policies have been proposed, but most of them require solving an optimization problem at every round and/or are forced to explore an arm at least a certain number of times except those restricted to the Gaussian model. To address these limitations, we propose a novel policy that combines Thompson sampling with a computationally efficient approach known as the best challenger rule. While Thompson sampling was originally considered for maximizing the cumulative reward, we demonstrate that it can be used to naturally explore arms in BAI without forcing it. We show that our policy is asymptotically optimal for any two-armed bandit problems and achieves near optimality for general $K$-armed bandit problems for $K\geq 3$. Nevertheless, in numerical experiments, our policy shows competitive performance compared to asymptotically optimal policies in terms of sample complexity while requiring less computation cost. In addition, we highlight the advantages of our policy by comparing it to the concept of $\beta$-optimality, a relaxed notion of asymptotic optimality commonly considered in the analysis of a class of policies including the proposed one.