Few-for-Many Best-Arm Identification in Multi-Objective Bandits
TL;DR
The results show that sharing observations across objectives and ignoring irrelevant objective-wise distinctions can substantially reduce the sampling cost, as confirmed by experiments on synthetic and real-world tasks.
Abstract
Real-world systems often serve many objectives but can deploy only a few options, whose performance must be learned from noisy feedback. Modeling each option as an arm in a multi-objective bandit, we introduce \emph{few-for-many best-arm identification}, which seeks a small set of arms minimizing the worst weighted degradation from the objective-wise optima, rather than the best arm for every objective. We consider both known objective groups and latent groups specified only by a representative budget, and propose \textsc{GFM-Elim} and \textsc{AFM-Elim} with instance-dependent sample-complexity guarantees. For Gaussian rewards, we further derive a lower bound for the latent-group setting and show that it is asymptotically attainable with high probability by an oracle-based Track-and-Stop procedure. Our results show that sharing observations across objectives and ignoring irrelevant objective-wise distinctions can substantially reduce the sampling cost, as confirmed by experiments on synthetic and real-world tasks.
