Asymptotic Allocation Rules for a Class of Dynamic Multi-armed Bandit Problems

2 Oct 2017T. W. U. MadhushaniD. H. S. MaithripalaN. E. Leonard

This paper presents a class of Dynamic Multi-Armed Bandit problems where the reward can be modeled as the noisy output of a time varying linear stochastic dynamic system that satisfies some boundedness constraints. The class allows many seemingly different problems with time varying option characteristics to be considered in a single framework... (read more)

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