Multi-Armed Bandit Allocation Indices: Gittins/Multi-Armed Bandit Allocation Indices

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Bandit Algorithms (2020, background): “…and Slivkins (2012); Seldin and Lugosi(2017); Auer and Chiang (2016) • Big myth Adversarial bandits do not address nonstationarity Resources • Book by Bubeck and Cesa-Bianchi (2012) • Book by Cesa-Bianchi and Lugosi (2006) • The Bayesian books by Gittins et al. (2011) and Berry and Fristedt(1985).”
Customer Acquisition via Display Advertising Using Multi-Armed Bandit Experiments (2017, background): “…sequential decision making problem that had attracted a great deal of attention (Berry 1972; Bradt et al. 1956; Robbins 1952; Thompson 1933; Wahrenberger et al. 1977) and had been previously thought to be intractable (Berry and Fristedt 1985; Gittins et al. 2011; Tsitsiklis 1986; Whittle 1980).”
Incentivizing exploration (2014, methodology): “For an overview, see the survey article [Ma-hajan and Teneketzis 2007] or the monograph [Gittins et al. 2011].”
An Empirical Evaluation of Thompson Sampling (2011, background): “In contrast to a full Bayesian method like Gittins index, one can often implement Thompson sampling efficiently.”