Randomized Allocation with Nonparametric Estimation for Contextual Multi-Armed Bandits with Delayed Rewards
Machine Learning
2019-09-06 v3 Machine Learning
Statistics Theory
Statistics Theory
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 mild 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
Cite
@article{arxiv.1902.00819,
title = {Randomized Allocation with Nonparametric Estimation for Contextual Multi-Armed Bandits with Delayed Rewards},
author = {Sakshi Arya and Yuhong Yang},
journal= {arXiv preprint arXiv:1902.00819},
year = {2019}
}
Comments
Added simulations and some minor typographical changes