The multi-armed bandit problem with switching cost

@article{Agrawal1987TheMB,
  title={The multi-armed bandit problem with switching cost},
  author={Rajeev Agrawal and Manjunath Hegde and Demosthenis Teneketzis},
  journal={26th IEEE Conference on Decision and Control},
  year={1987},
  volume={26},
  pages={1106-1108}
}
We consider multi-armed bandit problems with switching cost, and present asymptotically optimal adaptive allocation schemes. We illustrate an optimal allocation scheme for a large class of distributions which includes members of the exponential family. 

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Asymptotically Efficient Allocation of Treatments in Sequential Experiments ”

P. Varaiya V. Ananthraman, J. Walrand
Stochastic Processes ” • 1983

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