Probabilistic Sequential Shrinking: A Best Arm Identification Algorithm for Stochastic Bandits with Corruptions
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We consider a best arm identification (BAI) problem for stochastic bandits with adversarial corruptions in the fixed-budget setting of T steps. We design a novel randomized algorithm, Probabilistic Sequential Shrinking(u) (PSS(u)), which is agnostic to the amount of corruptions. When the amount of corruptions per step (CPS) is below a threshold, PSS(u) identifies the best arm or item with probability tending to 1 as T→∞. Otherwise, the optimality gap of the identified item degrades gracefully with the CPS. We argue that such a bifurcation is necessary. In addition, we show that when the CPS is sufficiently large, no algorithm can achieve a BAI probability tending to 1 as T→∞. In PSS(u), the parameter u serves to balance between the optimality gap and success probability. En route, the injection of randomization is shown to be essential to mitigate the impact of corruptions. Indeed, we show that PSS(u) has a better performance than its deterministic analogue, the Successive Halving (SH) algorithm by Karnin et al. (2013). PSS(2)'s performance guarantee matches SH's when there is no corruption. Finally, we identify a term in the exponent of the failure probability of PSS(u) that generalizes the common H_2 term for BAI under the fixed-budget setting.
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