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The Perils of Misspecified Priors and Optional Stopping in Multi-Armed Bandits



The connection between optimal stopping times of American Options and multi-armed bandits is the subject of active research. This article investigates the effects of optional stopping in a particular class of multi-armed bandit experiments, which randomly allocates observations to arms proportional to the Bayesian posterior probability that each arm is optimal (Thompson sampling). The interplay between optional stopping and prior mismatch is examined. We propose a novel partitioning of regret into peri/post testing. We further show a strong dependence of the parameters of interest on the assumed prior probability density.


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Series Title
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Call Number
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Publisher Frontiers in Artificial Intelligence : Switzerland.,
Collation
006
Language
English
ISBN/ISSN
2624-8212
Classification
NONE
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Edition
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Statement of Responsibility

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Scopus Q3

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