Bayes' Theorem allows a program to infer the probabilities of likely causes from the probabilities of their effects, when what it is given are the probabilities of effects, given the causes.
We consider a finite-horizon multi-armed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework.
In this paper, we introduce the pseudo-extended MCMC method as a simple approach for improving the mixing of the MCMC sampler for multi-modal posterior distributions.