Most Correlated Arms Identification
published: July 15, 2014, recorded: June 2014, views: 95
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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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