The PROBE algorithm provably reduces the sample complexity of best-arm identification by using cheap proxy scores as control variates, achieving oracle-level savings even when the reward-proxy correlation is unknown.
Glasserman, Paul
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Best-Arm Identification with Generative Proxy
The PROBE algorithm provably reduces the sample complexity of best-arm identification by using cheap proxy scores as control variates, achieving oracle-level savings even when the reward-proxy correlation is unknown.