Suboptimal Performance of the Bayes Optimal Algorithm in Frequentist Best Arm Identification

Understand

We consider the fixed-budget best arm identification problem with rewards following normal distributions.

• In this problem, the forecaster is given $K$ arms (or treatments) and $T$ time steps.
• The forecaster attempts to find the arm with the largest mean, via an adaptive experiment conducted using an algorithm.
• The algorithm's performance is evaluated by simple regret, reflecting the quality of the estimated best arm.