We study the real-valued combinatorial pure exploration problem in the stochastic multi-armed bandit (R-CPE-MAB). We study the case where the size of the action set is polynomial with respect to the number of arms. In such a case, the R-CPE-MAB can be seen as a special case of the so-called transductive linear bandits. We introduce the combinatorial gap-based exploration (CombGapE) algorithm, whose sample complexity upper-bound-matches the lower bound up to a problem-dependent constant factor. We numerically show that the CombGapE algorithm outperforms existing methods significantly in both synthetic and real-world data sets.

We study the real-valued combinatorial pure exploration of the multi-armed bandit (R-CPE-MAB) problem. In R-CPE-MAB, a player is given stochastic arms, and the reward of each arm follows an unknown distribution. In each time step, a player pulls a single arm and observes its reward. The player's goal is to identify the optimal action from a finite-sized real-valued action set with as few arm pulls as possible. Previous methods in the R-CPE-MAB require enumerating all of the feasible actions of the combinatorial optimization problem one is considering. In general, since the size of the action set grows exponentially large with respect to the number of arms, this is almost practically impossible when the number of arms is large. We introduce an algorithm named the Generalized Thompson Sampling Explore (GenTS-Explore) algorithm, which is the first algorithm that can work even when the size of the action set is exponentially large with respect to the number of arms. We also introduce a novel problem-dependent sample complexity lower bound of the R-CPE-MAB problem, and show that the GenTS-Explore algorithm achieves the optimal sample complexity up to a problem-dependent constant factor.

We study the real-valued combinatorial pure exploration of the multi-armed bandit in the fixed-budget setting. We first introduce an algorithm named the Combinatorial Successive Asign (CSA) algorithm, which is the first algorithm that can identify the best action even when the size of the action class is exponentially large with respect to the number of arms. We show that the upper bound of the probability of error of the CSA algorithm matches a lower bound up to a logarithmic factor in the exponent. Then, we introduce another algorithm named the Minimax Combinatorial Successive Accepts and Rejects (Minimax-CombSAR) algorithm for the case where the size of the action class is polynomial, and show that it is optimal, which matches a lower bound. Finally, we experimentally compare the algorithms with previous methods and show that our algorithm performs better.