Bayes for sequential decision making (III): detecting and adapting to regime changes

Introduction In this note, we introduce the BONE framework 1 for learning and adaptation in non-stationary environments. We present various strategies to adapt the one-dimensional learning procedure we saw on the first note , under the assumption of structural changes in the reward process. A recap We assume an agent is given a sequence of actions $a_t \in {\cal A}$, and rewards $r_t \in \reals$.…