On the two-armed bandit problem with non-observed Poissonian switching of arms

We consider the symmetrical case of the Poissonian variant of the two-armed bandit problem. We suppose that at jump-times of a non-observed Poisson process sequential switching of the bandit arms occurs. The optimality of the myopic policy is proved for all sufficiently large switching rates. In this case, explicit formulas which are good approximation for the value function are found as well. Copyright Physica-Verlag 1998

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Year of publication:	1998
Authors:	Donchev, Doncho
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 47.1998, 3, p. 401-422
Publisher:	Springer
Subject:	TAB-problem \| controlled piecewise-detenninistic processes \| Bellman equation \| functional-differential equations with delay

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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