Sensitivity criteria in the continuous-time two-armed bandit problem

Sensitivity criteria in the continuous-time two-armed bandit problem

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Article ID: iaor19931460
Country: United States
Volume: 35
Start Page Number: 819
End Page Number: 824
Publication Date: Aug 1990
Journal: Theory of Probability and its Applications
Authors:
Abstract:

The two-armed bandit problem with continuous-time parameter was formulated and investigated comprehensively by Presman and Soniu for the case of a criterion of additive reward. This paper uses this result to analyse the optimal strategy from the point of view of the sensitivity criteria of Veinott.

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