Improving Online Marketing Experiments with Drifting Multi-armed Bandits

Restless bandits model the exploration vs. exploitation trade-off in a changing (non-stationary) world. Restless bandits have been studied in both the context of continuously-changing (drifting) and change-point (sudden) restlessness. In this work, we study specific classes of drifting restless bandits selected for their relevance to modelling an online website optimization process. The contribution in this work is a simple, feasible weighted least squares technique capable of utilizing contextual arm parameters while considering the parameter space drifting non-stationary within reasonable bounds. We produce a reference implementation, then evaluate and compare its performance in several different true world states, finding experimentally that performance is robust to time drifting factors similar to those seen in many real world cases.