Levy Bandits: Multi-Armed Bandits Driven by Levy Processes

Abstract

LEVY BANDITS 545 where ~k is the probability measure determined by the characteristic func- tion (3.3) fo ei yp'k(dy) -- q~k( f~,0)[ /3 + ~k(0)] ' 0 ~ ~1, and ~ k is the Levy exponent of Xk, namely, exp[ - t ~ k (0)] = P0k