Non-stationary Bandits with Knapsacks

In this paper, we study the problem of bandits with knapsacks (BwK) in a non-stationary environment. The BwK problem generalizes the multi-arm bandit (MAB) problem to model the resource consumption associated with playing each arm. At each time, the decision maker/player chooses to play an arm, and s/he will receive a reward and consume certain amount of resource from each of the multiple resource types. The objective is to maximize the cumulative reward over a finite horizon subject to some knapsack constraints on the resources. Existing works study the BwK problem under either a stochastic or adversarial environment.