Randomization in the two-armed bandit problem
type: Item
instance of: scholarly article
title: Randomization in the two-armed bandit problem
zbMATH Open document ID: 0713.60054
author: Robert C. Dalang
published in: The Annals of Probability
publication date: 1990-01-01T00:00:00Z
review text: This paper gives an elementary proof of the existence of optimal solutions to a general form of the continuous-time two-armed bandit. The formulation is the same as that used by \textit{G. Mazziotto} and \textit{A. Millet} [Stochastics 22, 251-288 (1987; Zbl 0643.60040)]; however the topological embedding of the set of randomized optimal increasing paths is new and enables a resolution of the problem that requires only straightforward topological arguments. Also, one of the conditions in Mazziotto and Millet's paper can be removed, yielding a stronger result.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 4174042
zbMATH Keywords: randomization
zbMATH Keywords: existence of optimal solutions
zbMATH Keywords: continuous-time two-armed bandit
reviewed by: J. Gianini Pettitt
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1176990946
OpenAlex ID: W1966352542
DOI: 10.1214/AOP/1176990946
description: scientific article; zbMATH DE number 4174042