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Say I have n biased coins. Coin $i$ lands on heads with probability $p_i$ which comes from a uniform prior probability distribution over $[0, 1]$. At times $t = 1, 2, ..., k$ I must select one of the coins to flip (Assume k > n). What strategy would give a maximal expected number of heads over the k flips?

This problem seems so deceptively simple... You obviously need to make some trade-off between flipping the coin that has given the best return so far and trying out others to see if they're better. I'm not sure how to do that.

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Use the weighted majority algorithm ( – Yuval Filmus Sep 12 '12 at 23:38
How do I use that? Can you explain? – ezeidman Sep 13 '12 at 22:35
I think you are looking for the Gittins index, though I wikipedia-ed the term and it did not obviously describe the problem you are talking about. – mike Sep 14 '12 at 0:30
up vote 1 down vote accepted

Use the multiplicative weights algorithm (also known as weighted majority, boosting [in machine learning], and probably other names as well). See this lecture for example, section 2.

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