Active Learning in Multi-armed Bandits

@inproceedings{Antos2008ActiveLI,
  title={Active Learning in Multi-armed Bandits},
  author={Andr{\'a}s Antos and Varun Grover and Csaba Szepesv{\'a}ri},
  booktitle={ALT},
  year={2008}
}
We consider the problem of actively learning the mean values of distributions associated with a finite number of options (arms). The decision maker can select which option to generate the next sample from, the goal being to produce estimates with equally good precision for all the options. If sample means are used to estimate the unknown values then the optimal solution, assuming full knowledge of the distributions except their means, is to sample from each distribution proportional to its… CONTINUE READING
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