Bayesian nonparametric bandits
A finite number (n) of selections are to be made from two independent stochastic processes, or arms. The choice of arm at each stage is allowed to depend upon the full history of the process and the aim is to maximise the expectation of the sum of the observations. One arm produces i.i.d. observations with known probability measure, whereas observations from the other have a probability measure which is a Dirichlet process with parameter \(\alpha\). Call this latter process arm 1. Various monotonicity properties of optimal strategies are established, yielding corollaries of a stay-with-a-winner kind. For example, there exists a quantity \(b_ n(\alpha)\) such that if arm 1 is optimal initially and if \(X_ 1=x\) is observed then arm 1 is optimal again provided \(x\geq b_ n(\alpha).\) The determination of \(b_ n(\alpha)\) requires finding an optional strategy! However a simple upper bound is available which can be used to approximate an optimal rule. Calculations give some insight into the quality of such an approximation.
- Some monotonicity properties of parametric and nonparametric Bayesian bandits
- Optimal Bayesian strategies for the infinite-armed Bernoulli bandit
- A Note on Dirichlet One-Armed Bandits
- Two-armed Dirichlet bandits with discounting
- Learning vs earning trade-off with missing or censored observations: the two-armed Bayesian nonparametric beta-Stacy bandit problem
- The time until the final zero crossing of random sums with application to nonparametric bandit theory
- On the generic nonconvergence of Bayesian actions and beliefs
- Two-armed Dirichlet bandits with discounting
- Nonparametric Bayesian multiarmed bandits for single-cell experiment design
- Learning vs earning trade-off with missing or censored observations: the two-armed Bayesian nonparametric beta-Stacy bandit problem
- A randomly reinforced urn
- On the value of learning for Bernoulli bandits with unknown parameters
- Negatively Correlated Bandits
- Bayesian Incentive-Compatible Bandit Exploration
- Covariate models for bernoulli bandits
- Nonstochastic Multi-Armed Bandits with Graph-Structured Feedback
- Multi-armed bandit for species discovery: a Bayesian nonparametric approach
- Machine learning and nonparametric bandit theory
- A Note on Dirichlet One-Armed Bandits
- scientific article; zbMATH DE number 6276176 (Why is no real title available?)
- Bayesian Adaptive Stochastic Process Termination
- Optimal inventory policies when the demand distribution is not known
- Nonparametric bandit methods
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