Fixed-Budget Differentially Private Best Arm Identification
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Keywords: Best Arm Identification, Differential Privacy
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Abstract: We study best arm identification (BAI) in linear bandits in the fixed-budget regime under differential privacy constraints, when the arm rewards are supported on the unit interval.
Given a finite budget $T$ and a privacy parameter $\varepsilon>0$, the goal is to minimise the error probability in finding the arm with the largest mean after $T$ sampling rounds, subject to the constraint that the policy of the decision maker satisfies a certain {\em $\varepsilon$-differential privacy} ($\varepsilon$-DP) constraint. We construct a policy satisfying the $\varepsilon$-DP constraint (called {\sc DP-BAI}), based on the principle of {\em maximum absolute determinants}, and derive an upper bound on its error probability. Furthermore, we derive a minimax lower bound on the error probability, and demonstrate that the lower and the upper bounds decay exponentially in $T$, with exponents in the two bounds matching order-wise in (a) the sub-optimality gaps of the arms, (b) $\varepsilon$, and (c) the problem complexity that is expressible as the sum of two terms, one characterising the complexity of standard fixed-budget BAI (without privacy constraints), and the other accounting for the $\varepsilon$-DP constraint. Additionally, we present some auxiliary results that contribute to the derivation of the lower bound on the error probability. These results, we posit, may be of independent interest and could prove instrumental in proving lower bounds on error probabilities in several other bandit problems.
Whereas prior works provide results for BAI in the fixed-budget regime without privacy constraints or in the fixed-confidence regime with privacy constraints, our work fills the gap in the literature by providing the results for BAI in the fixed-budget regime under the $\varepsilon$-DP constraint.
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Primary Area: reinforcement learning
Submission Number: 3619
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