AI & ML
Halve-Then-Greedy: Adaptive Sampling for Posterior Success with Near-Optimal Instance Dependence
arXiv stat.ML0 views
arXiv:2610.20997v1 Announce Type: cross Abstract: We study fixed-budget adaptive experimentation aimed at maximizing the probability of obtaining sufficient posterior evidence that a recommended design's mean performance exceeds a target. Unlike best-arm identification, this objective does not require finding the best design. For Gaussian bandits with a Gaussian prior, we propose \emph{Halve-Then-Greedy} (HTG), which combines a large initial balanced allocation, successive halving, and posterior-greedy sampling. We prove instance-dependent, finite-budget exponential bounds on posterior-failure probability that capture both separation from unfavorable arms and the presence of multiple favorable arms. On one-positive-arm families, we establish an asymptotic sample-complexity lower bound that HTG matches up to a logarithmic factor. We further analyze uniform sampling and sequential halving, revealing regimes where they require more samples than HTG by linear and logarithmic factors, respectively. Simulations illustrate HTG's sample-efficiency advantages and their dependence on instance structure.
Source:https://arxiv.org/abs/2610.20997PreviousSign Betting for Misspecified Regression: Variance Adaptivity and Optimal ApproximationNextOptimal Demand Response-Based Energy Management for Campus Buildings with Battery Energy Storage Systems: A Case Study of the ELB Building
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