Learning from prior tasks and transferring that experience to improve future
performance is critical for building lifelong learning agents. Although results
in supervised and reinforcement learning show that transfer may significantly
improve the learning performance, most of the literature on transfer is focused
on batch learning tasks. In this paper we study the problem of
\textit{sequential transfer in online learning}, notably in the multi-armed
bandit framework, where the objective is to minimize the cumulative regret over
a sequence of tasks by incrementally transferring knowledge from prior tasks.
We introduce a novel bandit algorithm based on a method-of-moments approach for
the estimation of the possible tasks and derive regret bounds for it
