Normal Bandits of Unknown Means and Variances: Asymptotic Optimality, Finite Horizon Regret Bounds, and a Solution to an Open Problem

Wesley Cowan, Junya Honda, Michael N. Katehakis

Consider the problem of sampling sequentially from a finite number of $N\ge 2$ populations, specified by random variables $X_k^i$, $i=1,\dots ,N,$ and $k=1,2,\dots$; wh…