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Multi-Armed Bandit Problems

Brian Amadio takes us through one of my favorite classes of problem:

Multi-armed bandits have become a popular alternative to traditional A/B testing for online experimentation at Stitch Fix. We’ve recently decided to extend our experimentation platform to include multi-armed bandits as a first-class feature. This post gives an overview of our experimentation platform architecture, explains some of the theory behind multi-armed bandits, and finally shows how we incorporate them into our platform.

The post gives a good explanation of the concept, as well as the implementation strategy.