| Article ID: | iaor19992535 |
| Country: | Germany |
| Volume: | 47 |
| Issue: | 3 |
| Start Page Number: | 401 |
| End Page Number: | 422 |
| Publication Date: | Jan 1998 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Donchev Doncho S. |
| Keywords: | bandit problems |
We consider the symmetrical case of the Poissonian variant of the two-armed bandit problem. We suppose that at jump-times of a non-observed Poisson process sequential switching of the bandit arms occurs. The optimality of the myopic policy is proved for all sufficiently large switching rates. In this case, explicit formulas which are good approximation for the value function are found as well.