MULTI-ARMED BANDITS UNDER GENERAL DEPRECIATION AND COMMITMENT

• Published in: Probability in the engineering and informational sciences Vol. 29; no. 1; pp. 51 - 76
• Main Authors: Cowan, Wesley, Katehakis, Michael N.
• Format: Journal Article
• Language: English
• Published: New York, USA Cambridge University Press 01.01.2015
• Subjects: Activation; Collection; Constants; Decisions; Depreciation; Discounts; Mathematical analysis; Mathematical models; Probability; Receiving; Stochasticity
• ISSN: 0269-9648; 1469-8951
• DOI: 10.1017/S0269964814000217

Generally, the multi-armed has been studied under the setting that at each time step over an infinite horizon a controller chooses to activate a single process or bandit out of a finite collection of independent processes (statistical experiments, populations, etc.) for a single period, receiving a reward that is a function of the activated process, and in doing so advancing the chosen process. Classically, rewards are discounted by a constant factor β∈(0, 1) per round. In this paper, we present a solution to the problem, with potentially non-Markovian, uncountable state space reward processes, under a framework in which, first, the discount factors may be non-uniform and vary over time, and second, the periods of activation of each bandit may be not be fixed or uniform, subject instead to a possibly stochastic duration of activation before a change to a different bandit is allowed. The solution is based on generalized restart-in-state indices, and it utilizes a view of the problem not as “decisions over state space” but rather “decisions over time”.