One of the classic problems in Statistics that a lot of people working at STOR-i in particular are involved with is something called ‘Multi-Armed Bandits’. In fact there was a recent conference on the topic and its applications at Lancaster earlier this year. In this post I will try to explain what the problem is and touch on how it is solved.
Originally this problem was first thought about in the casinos of Las Vegas. It concerns how to pick which slot machine out of a group you should play to try in order to try and maximise your total winnings. Whilst this problem is no longer just applicable to casinos, the name ‘one-armed bandit‘ has stuck and the casino analogy is what I will continue to use.