Most Correlated Arms Identification

Che-Yu Liu, Sébastien Bubeck

Published 2014-04-23Version 1

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.