Restless Multi-Armed Bandits under Exogenous Global Markov Process. (arXiv:2202.13665v2 [cs.LG] UPDATED)

We consider an extension to the restless multi-armed bandit (RMAB) problem
with unknown arm dynamics, where an unknown exogenous global Markov process
governs the rewards distribution of each arm. Under each global state, the
rewards process of each arm evolves according to an unknown Markovian rule,
which is non-identical among different arms. At each time, a player chooses an
arm out of N arms to play, and receives a random reward from a finite set of
reward states. The arms …

arxiv exogenous global markov multi-armed bandits process