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Computer Science > Machine Learning

arXiv:2211.01743 (cs)
[Submitted on 1 Nov 2022]

Title:Beyond the Best: Estimating Distribution Functionals in Infinite-Armed Bandits

Authors:Yifei Wang, Tavor Baharav, Yanjun Han, Jiantao Jiao, David Tse
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Abstract:In the infinite-armed bandit problem, each arm's average reward is sampled from an unknown distribution, and each arm can be sampled further to obtain noisy estimates of the average reward of that arm. Prior work focuses on identifying the best arm, i.e., estimating the maximum of the average reward distribution. We consider a general class of distribution functionals beyond the maximum, and propose unified meta algorithms for both the offline and online settings, achieving optimal sample complexities. We show that online estimation, where the learner can sequentially choose whether to sample a new or existing arm, offers no advantage over the offline setting for estimating the mean functional, but significantly reduces the sample complexity for other functionals such as the median, maximum, and trimmed mean. The matching lower bounds utilize several different Wasserstein distances. For the special case of median estimation, we identify a curious thresholding phenomenon on the indistinguishability between Gaussian convolutions with respect to the noise level, which may be of independent interest.
Subjects: Machine Learning (cs.LG); Information Theory (cs.IT); Statistics Theory (math.ST); Machine Learning (stat.ML)
Cite as: arXiv:2211.01743 [cs.LG]
  (or arXiv:2211.01743v1 [cs.LG] for this version)
  https://doi.org/10.48550/arXiv.2211.01743

Submission history

From: Yifei Wang [view email]
[v1] Tue, 1 Nov 2022 18:20:10 UTC (23,942 KB)
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