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Some memoryless bandit policies

Published online by Cambridge University Press:  14 July 2016

Erol A. Peköz*
Affiliation:
Boston University
*
Postal address: School of Management, Boston University, Boston, MA 02215, USA. Email address: [email protected]

Abstract

We consider a multiarmed bandit problem, where each arm when pulled generates independent and identically distributed nonnegative rewards according to some unknown distribution. The goal is to maximize the long-run average reward per pull with the restriction that any previously learned information is forgotten whenever a switch between arms is made. We present several policies and a peculiarity surrounding them.

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 2003 

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