Maximin Action Identification: A New Bandit Framework for Games

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Aurélien Garivier, Emilie Kaufmann, Wouter M. Koolen ;
29th Annual Conference on Learning Theory, PMLR 49:1028-1050, 2016.

Abstract

We study an original problem of pure exploration in a strategic bandit model motivated by Monte Carlo Tree Search. It consists in identifying the best action in a game, when the player may sample random outcomes of sequentially chosen pairs of actions. We propose two strategies for the fixed-confidence setting: Maximin-LUCB, based on lower- and upper- confidence bounds; and Maximin-Racing, which operates by successively eliminating the sub-optimal actions. We discuss the sample complexity of both methods and compare their performance empirically. We sketch a lower bound analysis, and possible connections to an optimal algorithm.

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