On monotone optimal decision rules and the stay-on-a-winner rule for the two-armed bandit-Reference-Cited by-同舟云学术

On monotone optimal decision rules and the stay-on-a-winner rule for the two-armed bandit

Published:1985-12 Issue:1 Volume:32 Page:395-407
ISSN:0026-1335
Container-title:Metrika
language:en
Short-container-title:Metrika

Author:

Kolonko M.,Benzing H.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/BF01897828.pdf

Reference13 articles.

1. Benzing, H., K. Hinderer andM. Kolonko: On thek-Armed Bernoulli Bandit: Monotonicity of the Total Reward under an Arbitrary Prior Distribution. Math. Operationsforsch. Statist., Ser. Optimization 15, 1984, 583–595.

2. Berry, D.A.: A Bernoulli Two-Armed Bandit. Ann. Math. Stat.,43, 1972, 871–897.

3. Bradt, R.N., S.M. Johnson andS. Karlin. On Sequential Designs for Maximizing the Sum ofn Observations. Ann Math. Stat.27, 1956, 1060–1074.

4. Bertsekas, D.P., andS.E. Shreve: Stochastic Optimal Control. Academic Press, New York 1978.

5. Hengartner, W., D. Kalin andR. Theodorescu: On the Bernoulli Two-Armed Bandit Problem. Math. Operationsforsch. Statist., Ser. Optimization12, 1981, 307–316.

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1. Increasing Lipschitz continuous maximizers of some dynamic programs;Annals of Operations Research;1991-12

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4. Monotone optimal decision rules and their computation;Journal of Optimization Theory and Applications;1986-06