Exact solution of the Bellman equation for aβ-discounted reward in a two-armed bandit with switching arms

[摘要] 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 aβ-discounted reward and prove that a myopic policy is optimal.

[学科分类] 应用数学