Exact solution of the Bellman equation for a β -discounted reward in a two-armed bandit with switching arms

Doncho S. Donchev

International Journal of Stochastic Analysis, 1999, vol. 12, 1-10

Abstract:

We consider the symmetric Poissonian two-armed bandit problem. For the case of switching arms, only one of which creates reward, we solve explicitly the Bellman equation for a β -discounted reward and prove that a myopic policy is optimal.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:924375

DOI: 10.1155/S1048953399000155

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