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Multi-Armed Bandit Algorithms Made Easy

Multi-Armed Bandit problems have always been viewed as devilishly hard problems. It is rumored that the allies dropped this problem over WWII Germany to occupy their analysts.

Multi-armed Bandit problems

The maths behind Multi-Armed Bandit (MAB) problems is incredibly complex. Peter Whittle had this to say about them in 1979:

[The bandit problem] was formulated during the [second world] war, and efforts to solve it so sapped the energies and minds of Allied analysts that the suggestion was made that the problem be dropped over Germany, as the ultimate instrument of intellectual sabotage.

Due to the complex maths, many Multi-Armed Bandit use heuristics to approach a good solution.

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