According to the wiki article on multi-armed bandits, apparently the Allies contemplated this in WW2. https://en.wikipedia.org/wiki/Multi-armed_bandit#Empirical_m...

> Originally considered by Allied scientists in World War II, it proved so intractable that, according to Peter Whittle, the problem was proposed to be dropped over Germany so that German scientists could also waste their time on it.[13]

[13] Whittle, Peter (1979), "Discussion of Dr Gittins' paper", Journal of the Royal Statistical Society, Series B, 41 (2): 148–177, doi:10.1111/j.2517-6161.1979.tb01069.x