arXiv Machine Learning By Masahiro Kato

Minimax and Bayes Optimal Best-Arm Identification

Read the original on arXiv Machine Learning →

arXiv:2506. 24007v5 Announce Type: replace-cross Abstract: This study investigates minimax and Bayes optimal strategies for fixed-budget best-arm identification.

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arXiv Machine Learning
Sep 25

Exact Bayes Regret and Asymptotic Optimality in High-Dimensional Gaussian Bandits

The paper analyzes Bayesian linear bandits with isotropic Gaussian parameters, independent Gaussian arms, and Gaussian reward noise when the time horizon scales with the dimension. It derives explicit limits for the normalized posterior uncertainty and parameter overlaps, yielding exact regret curves for several policies—including Thompson sampling, posterior‑mean greedy selection, and scaled‑covariance variants. The results show that posterior‑mean greedy selection achieves the optimal Bayes regret, while Thompson sampling incurs a strictly larger leading regret whose ratio to greedy lies between one and two, approaching two for long horizons.

By Prakhar Singhvi (Abstract Math Institute), Yi Zou (Abstract Math Institute), Abhishek Bhattacharjee (Abstract Math Institute)
arXiv AI
Jun 2

MINTS: Minimalist Thompson Sampling

arXiv:2606. 01655v1 Announce Type: cross Abstract: The Bayesian paradigm offers principled tools for sequential decision-making under uncertainty, but its reliance on a probabilistic model for all parameters can hinder the incorporation of complex structural constraints.

By Kaizheng Wang