Before revision:  While the multi-armed-bandit literature has shed much light on the situation when the policy maker compares the effectiveness of the treatments through their mean, economic decision making often requires targeting purpose specific characteristics of the outcome distribution, such as its inherent degree of inequality, welfare or poverty.
After revision:  While the multi-armed-bandit literature has shed much light on the situation when the policy maker compares the effectiveness of the treatments through their mean, much less is known about other targets. This is relevant, because a cautious decision maker may prefer to target a robust location measure such as a quantile or a trimmed mean. Furthermore, socio-economic decision making often requires targeting purpose specific characteristics of the outcome distribution, such as its inherent degree of inequality, welfare or poverty.