Hedging the Drift: Learning to Optimize Under Nonstationarity
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DOI: 10.1287/mnsc.2021.4024
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References listed on IDEAS
- Robert Phillips & A. Serdar Şimşek & Garrett van Ryzin, 2015. "The Effectiveness of Field Price Discretion: Empirical Evidence from Auto Lending," Management Science, INFORMS, vol. 61(8), pages 1741-1759, August.
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- Daniel Russo & Benjamin Van Roy, 2014. "Learning to Optimize via Posterior Sampling," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1221-1243, November.
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Keywords
data-driven decision-making; non-stationary bandit optimization; parameter-free algorithms;All these keywords.
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