Minimax and bates strategies for the discounted infinite horizon one-armed-bandit.—explicit formulae and structural properties

DOI10.1080/02331888608801935zbMath0588.62152OpenAlexW1999423367MaRDI QIDQ3716139

Peter Reimnitz

Publication date: 1986

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888608801935

zbMATH Keywords

minimax strategyleast favourable prior distributionnormal caseasymptotic minimax valueasymptotic strategydiscounted infinite horizon one-armed-banditstraight line boundary

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Sums of independent random variables; random walks (60G50) Optimal stopping in statistics (62L15)

Cites Work

• An Asymptotic Minimax Theorem for the Two Armed Bandit Problem
• Some Remarks on the Two-Armed Bandit

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