On a sequential two-action decision model1with unbounded reward functions

DOI10.1080/02331938908843421zbMath0675.90090OpenAlexW2049913415MaRDI QIDQ3830831

H. Benzing, Radu Theodorescu, Dieter Kalin

Publication date: 1989

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331938908843421

zbMATH Keywords

stopping rulemonotonicity propertiestwo-armed banditstay-on-a-winner ruleBernoulli bandit modelsmaximum expected total discounted rewardone-step-look-ahead policiessampling without recallsequential Markov decision

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Sequential statistical design (62L05) Optimal stopping in statistics (62L15)

Cites Work

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• Markov programming by successive approximations with respect to weighted supremum norms
• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• Structured Policies for a Sequential Design Problem with General Distributions