import Mathlib.MeasureTheory.Order.Lattice import Mathlib.CategoryTheory.Countable import Mathlib.MeasureTheory.Constructions.Polish.Basic import Mathlib.Order.CompletePartialOrder import Mathlib.Probability.Martingale.BorelCantelli import Mathlib.Probability.Kernel.IonescuTulcea.Traj import Mathlib.Probability.Process.FiniteDimensionalLaws import Mathlib.Probability.HasCondDistrib import Mathlib.MeasureTheory.Measure.ProbabilityMeasure import Mathlib.Probability.Independence.Basic import Mathlib.Probability.Independence.Conditional import Mathlib.MeasureTheory.Measure.SubFinite import Mathlib.Probability.Kernel.RadonNikodym import Mathlib.Analysis.Normed.Ring.Basic import Mathlib.MeasureTheory.Constructions.BorelSpace.Basic import Mathlib.Probability.Kernel.Composition.MapComap import Mathlib.Probability.Kernel.Basic import Mathlib.Probability.Independence.Integration import Mathlib.Probability.Kernel.Representation import Mathlib.Probability.IdentDistrib import Mathlib.Probability.Independence.InfinitePi import Mathlib.MeasureTheory.Function.FactorsThrough import Mathlib.Probability.Moments.SubGaussian /-! # Standalone extraction for `Bandits.UCB.nextArm` Definitions are copied verbatim; theorem proofs are replaced by `sorry`. Auto-generated by Referee. -/ set_option quotPrecheck false -- Namespace stubs (so later `open`s resolve). namespace Finset end Finset namespace Function end Function namespace MeasureTheory end MeasureTheory namespace Learning end Learning namespace ProbabilityTheory end ProbabilityTheory namespace ENNReal end ENNReal namespace Bandits end Bandits -- ═══ ForMathlib.MeasureTheory.Order.Lattice ═══ section open Finset variable {α δ : Type*} [MeasurableSpace δ] [SemilatticeInf α] {m : MeasurableSpace α} [MeasurableInf₂ α] attribute [to_dual existing] MeasurableInf₂ end -- ═══ ForMathlib.MeasureTheory.Order.MeasurableArg ═══ section open Finset variable {ι α : Type*} [LinearOrder α] [Fintype ι] [Nonempty ι] (f : ι → α) namespace Function /-- The maximum value of a tuple. -/ @[to_dual /-- The minimum value of a tuple. -/] abbrev max : α := univ.sup' univ_nonempty f end Function section Argmax @[to_dual] lemma exists_argmax : ∃ i, f i = f.max := sorry /-- The index of the maximum value of a tuple. -/ @[to_dual /-- The index of the minimum value of a tuple. -/] noncomputable def argmax := (exists_argmax f).choose variable [MeasurableSpace α] end Argmax end -- ═══ SequentialLearning.FiniteActions ═══ section open MeasureTheory Finset Learning namespace Learning variable {𝓐 R Ω : Type*} {m𝓐 : MeasurableSpace 𝓐} {mR : MeasurableSpace R} {mΩ : MeasurableSpace Ω} [DecidableEq 𝓐] {P : Measure Ω} [IsProbabilityMeasure P] {A : ℕ → Ω → 𝓐} {R' : ℕ → Ω → R} {a : 𝓐} {m n t : ℕ} {ω : Ω} section PullCount /-- Number of pulls of arm `a` up to (and including) time `n`. This is the number of entries in `h` in which the arm is `a`. -/ noncomputable def pullCount' (n : ℕ) (h : Iic n → 𝓐 × R) (a : 𝓐) := #{s | (h s).1 = a} end PullCount end Learning end -- ═══ SequentialLearning.SumRewards ═══ section open MeasureTheory Finset Learning namespace Learning variable {𝓐 𝓨 Ω : Type*} {m𝓐 : MeasurableSpace 𝓐} {m𝓨 : MeasurableSpace 𝓨} {mΩ : MeasurableSpace Ω} [DecidableEq 𝓐] [AddCommGroup 𝓨] {P : Measure Ω} [IsProbabilityMeasure P] {A : ℕ → Ω → 𝓐} {R : ℕ → Ω → 𝓨} {a : 𝓐} {m n t : ℕ} {ω : Ω} /-- Sum of rewards of arm `a` up to (and including) time `n`. -/ noncomputable def sumRewards' (n : ℕ) (h : Iic n → 𝓐 × 𝓨) (a : 𝓐) := ∑ s, if (h s).1 = a then (h s).2 else 0 /-- Empirical mean of arm `a` at time `n`. -/ noncomputable def empMean' (n : ℕ) (h : Iic n → 𝓐 × ℝ) (a : 𝓐) := sumRewards' n h a / pullCount' n h a variable [MeasurableSingletonClass 𝓐] end Learning end -- ═══ SequentialLearning.Algorithms.RoundRobin ═══ section open MeasureTheory ProbabilityTheory Finset Learning open scoped ENNReal NNReal namespace Learning variable {𝓨 : Type*} {m𝓨 : MeasurableSpace 𝓨} {K : ℕ} section AlgorithmDefinition /-- Action chosen by the Round-Robin algorithm at time `n + 1`. This is action `(n + 1) % K`. -/ noncomputable def RoundRobin.nextAction (hK : 0 < K) (n : ℕ) : Fin K := ⟨(n + 1) % K, Nat.mod_lt _ hK⟩ end AlgorithmDefinition end Learning end -- ═══ Online.Bandit.Algorithms.UCB ═══ section open MeasureTheory ProbabilityTheory Filter Real Finset Learning open scoped ENNReal NNReal namespace Bandits variable {K : ℕ} section Algorithm /-- The exploration bonus of the UCB algorithm, which corresponds to the width of a confidence interval. -/ noncomputable def ucbWidth' (c : ℝ) (n : ℕ) (h : Iic n → Fin K × ℝ) (a : Fin K) : ℝ := √(2 * c * log (n + 2) / pullCount' n h a) open Classical in /-- Arm pulled by the UCB algorithm at time `n + 1`. -/ noncomputable def UCB.nextArm (hK : 0 < K) (c : ℝ) (n : ℕ) (h : Iic n → Fin K × ℝ) : Fin K := have : Nonempty (Fin K) := Fin.pos_iff_nonempty.mp hK if n < K - 1 then RoundRobin.nextAction hK n else argmax (fun a ↦ empMean' n h a + ucbWidth' c n h a) end Algorithm end Bandits end