Most Correlated Arms Identification

author: Sébastien Bubeck, Department of Operations Research and Financial Engineering, Princeton University
published: July 15, 2014,   recorded: June 2014,   views: 93
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Description

We study the problem of finding the most mutually correlated arms among many arms. We show that adaptive arms sampling strategies can have significant advantages over the non-adaptive uniform sampling strategy. Our proposed algorithms rely on a novel correlation estimator. The use of this accurate estimator allows us to get improved results for a wide range of problem instances.

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