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

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  • Doncho Donchev

Abstract

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

Suggested Citation

  • Doncho Donchev, 1998. "On the two-armed bandit problem with non-observed Poissonian switching of arms," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 47(3), pages 401-422, October.
    • Handle: RePEc:spr:mathme:v:47:y:1998:i:3:p:401-422
    DOI: 10.1007/BF01198403
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    Cited by:

    1. Ulrich Rieder & Jens Winter, 2009. "Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 567-596, December.

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