  The paper proposes a novel upper confidence bound (UCB) procedure for
identifying the arm with the largest mean in a multi-armed bandit game in the
fixed confidence setting using a small number of total samples. The procedure
cannot be improved in the sense that the number of samples required to identify
the best arm is within a constant factor of a lower bound based on the law of
the iterated logarithm (LIL). Inspired by the LIL, we construct our confidence
bounds to explicitly account for the infinite time horizon of the algorithm. In
addition, by using a novel stopping time for the algorithm we avoid a union
bound over the arms that has been observed in other UCB-type algorithms. We
prove that the algorithm is optimal up to constants and also show through
simulations that it provides superior performance with respect to the
state-of-the-art.
