Abstract
We study multi-armed bandits (MAB) with multiple optimal arms, motivated by the fact that many practical decision making problems admit multiple correct answers. For $K$-armed bandits with $A$ optimal arms, we first provide a sharper analysis of previous sub-sampling algorithms (De Heide et al., 2021; Zhu and Nowak, 2020), establishing a $\tilde{O}\Big(\frac{K-A}{\sqrt{KA}}\sqrt{T} \Big)$ minimax regret, where $T$ is the total number of interactions and $\tilde O(\cdot)$ drops all constant and logarithmic factors, improving the previous $\tilde{O}(\sqrt{KT/A})$ regret. We then provide a matching lower bound up to logarithmic factors, indicating that our established rate is nearly minimax-optimal. We further show that the knowledge of $A$ up to $\tilde{O}(1)$ factors is necessary to achieve near-optimal regret, as near-optimal algorithms for one number of optimal arms must incur substantially larger regret than optimal regret for a smaller number. Overall, our results provide a comprehensive minimax characterization of $K$-armed bandits with $A$ over the entire range of $1 \leq A \leq K-1$.
Abstract (translated)
URL
https://arxiv.org/abs/2609.38659
