This paper considers a stochastic Multi-Armed Bandit (MAB) problem with dual objectives: (i) quick identification and commitment to the optimal arm, and (ii) reward maximization throughout a sequence of $T$ consecutive rounds. Though each objective has been individually well-studied, i.e., best arm identification for (i) and regret minimization for (ii), the simultaneous realization of both objectives remains an open problem, despite its practical importance. This paper introduces \emph{Regret Optimal Best Arm Identification} (ROBAI) which aims to achieve these dual objectives. To solve ROBAI with both pre-determined stopping time and adaptive stopping time requirements, we present an algorithm called EOCP and its variants respectively, which not only achieve asymptotic optimal regret in both Gaussian and general bandits, but also commit to the optimal arm in $\mathcal{O}(\log T)$ rounds with pre-determined stopping time and $\mathcal{O}(\log^2 T)$ rounds with adaptive stopping time. We further characterize lower bounds on the commitment time (equivalent to the sample complexity) of ROBAI, showing that EOCP and its variants are sample optimal with pre-determined stopping time, and almost sample optimal with adaptive stopping time. Numerical results confirm our theoretical analysis and reveal an interesting "over-exploration" phenomenon carried by classic UCB algorithms, such that EOCP has smaller regret even though it stops exploration much earlier than UCB, i.e., $\mathcal{O}(\log T)$ versus $\mathcal{O}(T)$, which suggests over-exploration is unnecessary and potentially harmful to system performance.

We consider the task of collaborative preference completion: given a pool of items, a pool of users and a partially observed item-user rating matrix, the goal is to recover the personalized ranking of each user over all of the items. Our approach is nonparametric: we assume that each item $i$ and each user $u$ have unobserved features $x_i$ and $y_u$, and that the associated rating is given by $g_u(f(x_i,y_u))$ where $f$ is Lipschitz and $g_u$ is a monotonic transformation that depends on the user. We propose a $k$-nearest neighbors-like algorithm and prove that it is consistent. To the best of our knowledge, this is the first consistency result for the collaborative preference completion problem in a nonparametric setting. Finally, we conduct experiments on the Netflix and Movielens datasets that suggest that our algorithm has some advantages over existing neighborhood-based methods and that its performance is comparable to some state-of-the art matrix factorization methods.