Pure Exploration Bandit Problem with General Reward Functions Depending on Full Distributions

Abstract: In this paper, we study the pure exploration bandit model on general distribution functions, which means that the reward function of each arm depends on the whole distribution, not only its mean. We adapt the racing framework and LUCB framework to solve this problem, and design algorithms for estimating the value of the reward functions with different types of distributions. Then we show that our estimation methods have correctness guarantee with proper parameters, and obtain sample complexity upper bounds for them. Finally, we discuss about some important applications and their corresponding solutions under our learning framework.