Bernoulli two-armed bandits with geometric termination

Donald A. Berry and W Viscusi

Stochastic Processes and their Applications, 1981, vol. 11, issue 1, 35-45

Abstract: The standard Bernoulli two-armed bandit model is modified by terminating the choice problem after the first unsuccessful trial. Both terminal reward situations and instances in which payoffs accrue with each success are considered. For independent machines, the stay-on-a-winner rule holds in each of these instances. Moreover, for the terminal payoff case, staying on a winner is optimal with interdependent machines. Increased prior information concerning the properties of a machine decreases its attractiveness by diminishing the prospect for long-term survival.

Keywords: Two-armed; bandit; Bernoulli; bandit; stay-on-a-winner; geometric; termination (search for similar items in EconPapers)
Date: 1981
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Citations: View citations in EconPapers (2)

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