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

Sakshi Arya, Yuhong Yang

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish (US)
Article number108818
JournalStatistics and Probability Letters
Volume164
DOIs
StatePublished - Sep 2020

Keywords

  • Delayed rewards
  • Histogram method
  • Multi-armed bandit with covariates
  • Strong consistency

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