Average optimality in a Poissonian bandit with switching arms

Doncho Donchev and Alexander Yushkevich

Mathematical Methods of Operations Research, 1997, vol. 45, issue 2, 265-280

Abstract: A symmetric Poissonian two-armed bandit becomes, in terms of a posteriori probabilities, a piecewise deterministic Markov decision process. For the case of the switching arms, only of one which creates rewards, we solve explicitly the average optimality equation and prove that a myopic policy is average optimal. Copyright Physica-Verlag 1997

Keywords: Two-armed bandit; continuous time; switching arms; average criterion (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1007/BF01193865

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