| Article ID: | iaor20002390 |
| Country: | United States |
| Volume: | 12 |
| Issue: | 2 |
| Start Page Number: | 151 |
| End Page Number: | 160 |
| Publication Date: | Apr 1999 |
| Journal: | Journal of Applied Mathematics and Stochastic Analysis |
| Authors: | Donchev Doncho S. |
| Keywords: | markov processes |
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 a β-discounted reward and prove that a myopic policy is optimal.