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

multi-armed bandit problemswitching problemsoptimal reward functionstopping problemsMarkov-Feller processes

Mathematics Subject Classification ID

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

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(13)

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

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