An Asymptotically Optimal Algorithm for the Convex Hull Membership Problem

TMLR Paper5072 Authors

Abstract: We study the convex hull membership (CHM) problem in the pure exploration setting where one aims to efficiently and accurately determine if a given point lies in the convex hull of means of a finite set of distributions. We give a complete characterization of the sample complexity of the CHM problem in the one-dimensional case. We present the first asymptotically optimal algorithm called Thompson-CHM, whose modular design consists of a stopping rule and a sampling rule. In addition, we extend the algorithm to settings that generalize several important problems in the multi-armed bandit literature. Furthermore, we discuss the extension of Thompson-CHM to higher dimensions. Finally, we provide numerical experiments to demonstrate the empirical behavior of the algorithm matches our theoretical results for realistic time horizons.

Submission Length: Regular submission (no more than 12 pages of main content)

Assigned Action Editor: ~Ilan_Shomorony1

Submission Number: 5072