Research
Where Does the Union Bound Go? Best-Arm Identification and Strong FWER Control
arXiv:2608.19903v1 Announce Type: cross Abstract: In fixed-confidence best-arm identification, proofs often use a union bound across the competing arms. From a multiple-testing point of view this can
arXiv:2608.19903v1 Announce Type: cross Abstract: In fixed-confidence best-arm identification, proofs often use a union bound across the competing arms. From a multiple-testing point of view this can look puzzling: if the best arm is unique, only one hypothesis of the form ``arm i is best'' can be true. Why then should there be a Bonferroni-type factor of K-1? The answer is that there are two natural ways to orient the hypotheses. In one orientation, best-arm identification is literally a strong familywise-error-rate (FWER) problem with K-1 true nulls. In the opposite orientation, exactly one null is true, but a pairwise implementation can falsely reject that one null through any of K-1 comparisons. Thus the multiplicity has not disappeared; it just pops up in different places. This note makes the equivalence explicit in the terminology of both communities.
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Source: arXiv cs.LG | 2026-08-21