Randomized allocation with nonparametric estimation for contextual multi-armed bandits with delayed rewards

Sakshi Arya and Yuhong Yang

Statistics & Probability Letters, 2020, vol. 164, issue C

Abstract: We study a multi-armed bandit problem with covariates in a setting where there is a possible delay in observing the rewards. Under some reasonable assumptions on the probability distributions for the delays and using an appropriate randomization to select the arms, the proposed strategy is shown to be strongly consistent.

Keywords: Multi-armed bandit with covariates; Delayed rewards; Histogram method; Strong consistency (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108818

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