An Asymptotically Optimal Algorithm for the Convex Hull Membership Problem

This work studies the pure-exploration setting for the convex hull membership (CHM) problem 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 setting. 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.