Title: On Adaptive Estimation for Dynamic Bernoulli Bandits,
Abstract: The multi-armed bandit (MAB) problem is a classic example of the
exploration-exploitation dilemma. It is concerned with maximising the total
rewards for a gambler by sequentially pulling an arm from a multi-armed slot
machine where each arm is associated with a reward distribution. In static
MABs, the reward distributions do not change over time, while in dynamic MABs,
each arm's reward distribution can change, and the optimal arm can switch over
time. Motivated by many real applications where rewards are binary, we focus on
dynamic Bernoulli bandits. Standard methods like $\epsilon$-Greedy and Upper
Confidence Bound (UCB), which rely on the sample mean estimator, often fail to
track changes in the underlying reward for dynamic problems. In this paper, we
overcome the shortcoming of slow response to change by deploying adaptive
estimation in the standard methods and propose a new family of algorithms,
which are adaptive versions of $\epsilon$-Greedy, UCB, and Thompson sampling.
These new methods are simple and easy to implement. Moreover, they do not
require any prior knowledge about the dynamic reward process, which is
important for real applications. We examine the new algorithms numerically in
different scenarios and the results show solid improvements of our algorithms
in dynamic environments.