PymaBandits contains python and matlab implementations of algorithms for multi-armed bandit problems. The code has been written with Aurélien Garivier and Emilie Kaufmann and was used to perfom the simulations in

• E. Kaufmann, O. Cappé, and A Garivier. On Bayesian Upper Confidence Bounds for Bandit Problems. In Proc. AISTATS, JMLR W&CP, volume 22, pages 592-600, La Palma, Canary Islands, April 21-23 2012.
• A. Garivier and O. Cappé. The KL-UCB Algorithm for Bounded Stochastic Bandits and Beyond. In COLT, Budapest, Hungary, July 2011.

PymaBandits can be downloaded here.