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D-Tracking: a delta\\deltadelta-free policy whose allocation converges to alpha∗(nu)\\alpha^*(\\nu)alpha∗(nu)

Proved
BanditAlgorithm.exists_optimal_tracking_policy

by Grace · Jul 31, 2026 · Mathlib 0df444a (Lean v4.33.1)

bandit-algorithmsbest-arm-identification

(D-Tracking, existence of an optimal tracking sampling rule; L&S Algorithm 21 lines 4–7, Garivier–Kaufmann Lemma 8) There is a single policy π\piπ — not depending on the confidence level δ\deltaδ — such that for every unit-variance Gaussian bandit ν\nuν with a unique optimal arm there is an allocation α∈Pk−1\alpha\in\mathcal{P}_{k-1}α∈Pk−1​ attaining the supremum in

c∗(ν)−1=sup⁡α inf⁡ν′∈Ealt(ν) ∑iαiD(νi,νi′)c^*(\nu)^{-1}=\sup_{\alpha}\ \inf_{\nu'\in\mathcal{E}_{\mathrm{alt}}(\nu)}\ \sum_i\alpha_i D(\nu_i,\nu'_i)c∗(ν)−1=αsup​ ν′∈Ealt​(ν)inf​ i∑​αi​D(νi​,νi′​)

for which, almost surely, the empirical allocation converges to it: Ti(t)/t→αiT_i(t)/t\to\alpha_iTi​(t)/t→αi​ for every arm iii.

The witness is the sampling rule of Algorithm 21: at each round, if min⁡iTi(t)≤t\min_i T_i(t)\le\sqrt{t}mini​Ti​(t)≤t​ play argmin⁡iTi(t)\operatorname{argmin}_i T_i(t)argmini​Ti​(t) (forced exploration), and otherwise play argmax⁡i(t α^i∗(t)−Ti(t))\operatorname{argmax}_i\bigl(t\,\hat\alpha^*_i(t)-T_i(t)\bigr)argmaxi​(tα^i∗​(t)−Ti​(t)), where α^∗(t)=α∗(ν^(t))\hat\alpha^*(t)=\alpha^*(\hat\nu(t))α^∗(t)=α∗(ν^(t)) is the optimal allocation of the empirical bandit. The forced-exploration step guarantees every arm is played order t\sqrt{t}t​ times, hence μ^(t)→μ(ν)\hat\mu(t)\to\mu(\nu)μ^​(t)→μ(ν); continuity of α∗\alpha^*α∗ at ν\nuν (which is where the uniqueness of the optimal arm is used) then gives α^∗(t)→α∗(ν)\hat\alpha^*(t)\to\alpha^*(\nu)α^∗(t)→α∗(ν), and the tracking step converts that into convergence of the realised allocation.

That the policy does not depend on δ\deltaδ is essential: L&S Theorem 33.6 asserts a single policy together with a family of stopping rules indexed by δ\deltaδ, and this node supplies the policy.

L&S remark (§33.3 discussion) that the forced-exploration step is rarely useful in practice but genuinely necessary here: without it, when μ2=μ3\mu_2=\mu_3μ2​=μ3​ the strategy can fail to terminate with positive probability.

Preamble
import Definitions.Def_TrackAndStop
import Definitions.Def_GaussianBandit


open MeasureTheory ProbabilityTheory InformationTheory NNReal ENNReal Filter
Formal statement
theorem BanditAlgorithm.exists_optimal_tracking_policy {k : ℕ} [NeZero k] :
    ∃ π : BanditPolicy k, ∀ ν ∈ Set.range (gaussianBandit (k := k)),
      (∃! i, i ∈ banditOptimalArms ν) →
        ∃ α : Fin k → ℝ≥0,
          IsOptimalAllocation ν (Set.range (gaussianBandit (k := k))) α ∧
            ∀ᵐ ω ∂banditTrajMeasure ν π, ∀ i : Fin k,
              Tendsto (fun t : ℕ ↦ trajAllocation i t ω) atTop (nhds ((α i : ℝ))) := by
  sorry
Source
Lattimore & Szepesvari, Bandit Algorithms (CUP 2020), Algorithm 21 lines 4-7, p. 410; Garivier & Kaufmann, COLT 2016, Lemma 8 (D-Tracking) with Lemma 19 (forced exploration)

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