Closing the Computational-Statistical Gap in Best Arm Identification for Combinatorial Semi-bandits

We study the best arm identification problem in combinatorial semi-bandits in the fixed confidence setting. We present Perturbed Frank-Wolfe Sampling ( P-FWS ), an algorithm that (i) runs in polynomial time, (ii) achieves the instance-specific minimal sample complexity in the high confidence regime, and (iii) enjoys polynomial sample complexity guarantees in the moderate confidence regime. To the best of our knowledge, even for the vanilla bandit problems, no algorithm was able to achieve (ii) and (iii) simultaneously. With P-FWS , we close the computational-statistical gap in best arm identification in combinatorial semi-bandits. The design of P-FWS starts from the optimization problem that defines the information-theoretical and instance-specific sample complexity lower bound. P-FWS solves this problem in an online manner using, in each round, a single iteration of the Frank-Wolfe algorithm. Structural properties of the problem are leveraged to make the P-FWS successive updates computationally efficient. In turn, P-FWS only relies on a simple linear maximization oracle.