Optimal Best Arm Identification With Fixed Confidence in Restless Bandits

We study best arm identification in a restless multi-armed bandit setting with finitely many arms. The discrete-time data generated by each arm forms a homogeneous Markov chain taking values in a common, finite-state space. The state transitions in each arm are captured by an ergodic transition probability matrix (TPM) that is a member of a single-parameter exponential family of TPMs. The real-valued parameters of the arm TPMs are unknown and belong to a given space. Given a function f defined on the common state space of the arms, the goal is to identify the best arm—the arm with the largest average value of f evaluated under the arm’s stationary distribution—with the fewest number of samples, subject to an upper bound on the decision’s error probability (i.e., the fixed-confidence regime). A lower bound on the growth rate of the expected stopping time is established in the asymptote of a vanishing error probability. Furthermore, a policy for best arm identification is proposed, and its expected stopping time is proved to have an asymptotic growth rate that matches the lower bound. It is demonstrated that tracking the long-term behavior of a certain Markov decision process and its state-action visitation proportions are the key ingredients in analyzing the converse and achievability bounds. It is shown that under every policy, the state-action visitation proportions satisfy a specific approximate flow conservation constraint and that these proportions match the optimal proportions dictated by the lower bound under any asymptotically optimal policy. The prior studies on best arm identification in restless bandits focus on independent observations from the arms, rested Markov arms, and restless Markov arms with known arm TPMs. In contrast, this work is the first to study best arm identification in restless bandits with unknown arm TPMs.