The Complexity of Best-Arm Identification

We consider the problem of finding the highest mean among a set of probability distributions that can be sampled sequentially. We provide a complete characterization of the complexity of this task in simple parametric settings: we give a tight lower bound on the sample complexity, and we propose the 'Track-and-Stop' strategy, which we prove to be asymptotically optimal. This algorithm consists in a new sampling rule (which tracks the optimal proportions of arm draws highlighted by the lower bound) and in a stopping rule named after Chernoff, for which we give a new analysis.