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arXiv · 1902.00819

Randomized Allocation with Nonparametric Estimation for Contextual Multi-Armed Bandits with Delayed Rewards

Sakshi Arya·Yuhong Yang
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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.

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Sakshi Arya, Yuhong Yang. 2019-09-04. Randomized Allocation with Nonparametric Estimation for Contextual Multi-Armed Bandits with Delayed Rewards. https://arxiv.org/abs/1902.00819

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