On the Optimal Reward Function of the Continuous Time Multiarmed Bandit Problem

DOI10.1137/0328005MaRDI QIDQ3200906zbMATH OpenOpenAlexFDO

Authors José-Luis Menaldi, M. Robin

Publication date 1990

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://digitalcommons.wayne.edu/mathfrp/35

zbMATH Keywords

Markov-Feller processesmulti-armed bandit problemoptimal reward functionstopping problemsswitching problems

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Recommendations

• Optimal stopping problems for multiarmed bandit processes with arms' independence
• scientific article; zbMATH DE number 503440
• Synchronization and optimality for multi-armed bandit problems in continuous time
• scientific article; zbMATH DE number 736275
• scientific article; zbMATH DE number 3967731

Cited in

(16)

• Optimal stopping problems for multiarmed bandit processes with arms' independence
• Applicable stochastic control: From theory to practice
• Synchronization and optimality for multi-armed bandit problems in continuous time
• On monotone optimal decision rules and the stay-on-a-winner rule for the two-armed bandit
• Multi-armed bandit processes with optimal selection of the operating times
• scientific article; zbMATH DE number 4064879 (Why is no real title available?)
• scientific article; zbMATH DE number 503440 (Why is no real title available?)
• scientific article; zbMATH DE number 736275 (Why is no real title available?)
• The system of quasi-variational inequalities attached to the two-armed bandit problem
• Regret and Convergence Bounds for a Class of Continuum-Armed Bandit Problems
• A general theory of multiarmed bandit processes with constrained arm switches
• Minimax Off-Policy Evaluation for Multi-Armed Bandits
• Bandit problems with Lévy processes
• Finite-time analysis of the multiarmed bandit problem
• Optimal activation of halting multi‐armed bandit models
• Randomization in the two-armed bandit problem

This page was built for publication: On the Optimal Reward Function of the Continuous Time Multiarmed Bandit Problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3200906)