[paulddraper]

Right, as I said, it can be done with frequentist statistics. This is what Optimizely does (http://pages.optimizely.com/rs/optimizely/images/stats_engin...). But (1) it is not simple and (2) it is not optimal.

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Agreed 100% about multi-armed bandit which is what I was referring to. And the canonical solutions are in fact Bayesian :) See the Google Analytics link or lookup "Thompson sampling"

From your Wikipedia link:

"Probability matching strategies are also known as Thompson sampling or Bayesian Bandits, and surprisingly easy to implement if you can sample from the posterior for the mean value of each alternative."

[nickhuh]

Oh yeah there are a few Bayesian methods which work great, Bayes-UCB is another. Personally though I think KL-UCB or just plain old UCB would be the ones I'd choose. Like I said earlier, I think these techniques are like programming languages: choose the one you know well enough to get the job done with it.