Exact solution of the Bellman equation for a β-discounted reward in a two-armed bandit with switching arms. (1999)

• Record Type: Journal Article
• Authors: Donchev, Doncho S.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 12:Number 2(1999)
• Page Start: 151
• Page End: 160
• Publication Date: 1999
• Subjects: two-armed bandit -- continuous time -- switching arms -- β-discounted reward; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953399000155
• Languages: English
• ISSNs: 1048-9533

Abstract

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.