Optimal Simple Regret in Bayesian Best Arm Identification.

We consider Bayesian best arm identification in the multi-armed bandit problem. Assuming certain continuity conditions of the prior, we characterize the rate of the Bayesian simple regret. Differing from Bayesian regret minimization (Lai, 1987), the leading factor in Bayesian simple regret derives from the region where the gap between optimal and sub-optimal arms is smaller than $\sqrt{\frac{\log T}{T}}$. We propose a simple and easy-to-compute algorithm with its leading factor matches with the lower bound up to a constant factor; simulation results support our theoretical findings.