On Identifying Good Options under Combinatorially Structured Feedback in Finite Noisy Environments

We consider the problem of identifying a good option out of finite set of options under combinatorially structured, noisy feedback about the quality of the options in a sequential process: In each round, a subset of the options, from an available set of subsets, can be selected to receive noisy information about the quality of the options in the chosen subset. The goal is to identify the highest quality option, or a group of options of the highest quality, with a small error probability, while using the smallest number of measurements. The problem generalizes best-arm identification problems. By extending previous work, we design new algorithms that are shown to be able to exploit the combinatorial structure of the problem in a nontrivial fashion, while being unimprovable in special cases. The algorithms call a set multi-covering oracle, hence their performance and efficiency is strongly tied to whether the associated set multicovering problem can be efficiently solved.