Multi-Armed Bandit Problems

Multi-armed bandit (MAB) problems are a class of sequential resource allocation problems concerned with allocating one or more resources among several alternative (competing) projects. Such problems are paradigms of a fundamental conflict between making decisions (allocating resources) that yield high current rewards, versus making decisions that sacrifice current gains with the prospect of better future rewards. The MAB formulation models resource allocation problems arising in several technological and scientific disciplines such as sensor management, manufacturing systems, economics, queueing and communication networks, clinical trials, control theory, search theory, etc. (see [88] and references therein).

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