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When May a Bandit Leave Its Anchor? E-Process-Authorized Thompson Sampling under Non-stationarity

Gulati, Mayand et al.
arXiv (All) · Papers
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machine-learning
Stationarity rewards memory, but after a change the same history can mislead. We ask when forgetting should be permitted. E-process-authorized Thompson sampling (e-ATS) gives each arm full-history and discounted Beta states. An anytime-valid e-process first authorizes the discounted state, then a re
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