The set-indexed bandit problem

Giacomo Aletti and Ely Merzbach

Stochastic Processes and their Applications, 2002, vol. 101, issue 1, 127-142

Abstract: Motivated by spatial problems of allocations, we give a proof of the existence of an optimal solution to a set-indexed formulation of the bandit problem. The proof is based on a compactization of collections of fuzzy stopping sets and fuzzy optional increasing paths, and a construction of set-indexed integrals.

Keywords: Set-indexed; processes; Bandit; problem; Stochastic; control; Randomization (search for similar items in EconPapers)
Date: 2002
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