Asymptotically Optimal Best Arm Identification with Fixed-Budget under Differential Privacy

Best arm identification under differential privacy is a pure-exploration problem in which both statistical efficiency and privacy protection must be achieved simultaneously. We study fixed-budget best arm identification for bandits under pure $ε$-differential privacy, where the learner must recommend an arm after a prescribed sampling budget while protecting the full transcript. We prove that the optimal exponential decay rate of the error probability is upper bounded by an instance-dependent privacy-aware transportation exponent that differs from the analogous quantity used to characterize the stopping time in fixed-confidence analysis by Jourdan and Azize [2025]. Guided by this exponent, we propose AO-Pri-BAI, an adaptive algorithm that maintains private running estimates through Laplace-tree mechanisms and learns a sampling design through a min--max interaction between hard alternatives and arm allocations. We prove that AO-Pri-BAI satisfies pure $ε$-differential privacy. We also establish that the exponent of the failure probability of AO-Pri-BAI matches the privacy-aware benchmark. Numerical studies show that even in the non-asymptotic setting, AO-Pri-BAI outperforms benchmark algorithms on various instances, complementing the theoretical analyses.