Most Correlated Arms Identification

04/23/2014

∙

by   Che-Yu Liu, et al.

∙

0

∙

share

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.