On the Optimal Reward Function of the Continuous Time Multiarmed Bandit Problem
DOI10.1137/0328005zbMATH Open0714.90096OpenAlexW2108615361MaRDI QIDQ3200906FDOQ3200906
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
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multi-armed bandit problemswitching problemsoptimal reward functionstopping problemsMarkov-Feller processes
Dynamic programming (90C39) Continuous-time Markov processes on general state spaces (60J25) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
Cited In (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
- Title not available (Why is that?)
- 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
- Title not available (Why is that?)
- 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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