The Survival Bandit Problem. (arXiv:2206.03019v2 [cs.LG] UPDATED)

We study the survival bandit problem, a variant of the multi-armed bandit
problem introduced in an open problem by Perotto et al. (2019), with a
constraint on the cumulative reward; at each time step, the agent receives a
(possibly negative) reward and if the cumulative reward becomes lower than a
prespecified threshold, the procedure stops, and this phenomenon is called
ruin. This is the first paper studying a framework where the ruin might occur
but not always. We first discuss …

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