In this paper, we introduce the constrained best mixed arm identification (CBMAI) problem with a fixed budget. This is a pure exploration problem in a stochastic finite armed bandit model. Each arm is associated with a reward and multiple types of costs from unknown distributions. Unlike the unconstrained best arm identification problem, the optimal solution for the CBMAI problem may be a randomized mixture of multiple arms. The goal thus is to find the best mixed arm that maximizes the expected reward subject to constraints on the expected costs with a given learning budget $N$. We propose a novel, parameter-free algorithm, called the Score Function-based Successive Reject (SFSR) algorithm, that combines the classical successive reject framework with a novel score-function-based rejection criteria based on linear programming theory to identify the optimal support. We provide a theoretical upper bound on the mis-identification (of the the support of the best mixed arm) probability and show that it decays exponentially in the budget $N$ and some constants that characterize the hardness of the problem instance. We also develop an information theoretic lower bound on the error probability that shows that these constants appropriately characterize the problem difficulty. We validate this empirically on a number of average and hard instances.

本文介绍了携带固定预算的约束性最佳混合臂识别问题，提出了一个基于分数函数的连续拒绝算法，结合线性规划理论，以识别最佳支持并且证明了其误识别概率在给定学习预算N和问题实例难度常数下的指数衰减。

固定预算下的约束最佳混合臂识别的纯探索