The paper that proposes ESBAS, tests the algorithm on batch and online settings. However, in the remainder of the chapter, we'll focus primarily on the former. The two algorithms are very similar, and if you are interested in the pure online version, you can find a further explanation of it in the paper. The AS in true online settings is renamed as sliding stochastic bandit AS (SSBAS), as it learns from a sliding window of the most recent selections. But let's start from the foundations.
The first thing to say about ESBAS, is that it is based on the UCB1 strategy, and that it uses this bandit-style selection for choosing an off-policy algorithm from the fixed portfolio. In particular, ESBAS can be broken down into ...
