Top Feasible-Arm Subset Identification in Constrained Multi-Armed Bandit with Limited Budget

2024/01/16 by Hyeong Soo Chang, Chang, Hyeong Soo
Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #FOS: Mathematics #Machine Learning and Algorithms #Optimization and Control (math.OC) #Optimization and Search Problems

paper · pdf · doi:10.48550/arxiv.2401.08845

openalex publication_date 2024/01/16 · openalex created_date 2024/01/19 · openalex updated_date 2026/07/28

Abstract

We present an algorithm, "constrained successive accept or reject (CSAR)," for the problem of identifying the subset of top feasible-arms from a given finite set of arms with the limited sampling-budget equal to a given time-horizon when the sequential dynamics of the arms follows the model of a constrained multi-armed bandit. We provide a finite-time upper bound on the probability of the incorrect identification by CSAR that converges to zero with an exponential rate in the sampling-budget.

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