Adaptive policies for sequential sampling under incomplete information and a cost constraint

DOI10.1007/978-1-4614-4109-0_8MaRDI QIDQ5261007zbMATH OpenOpenAlexFDO

Authors Odysseas Kanavetas, A. N. Burnetas

Publication date 1 July 2015

Published in Applications of Mathematics and Informatics in Military Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.4002

zbMATH Keywords

sequential designstochastic learning and adaptive controlsampling cost constraint

Mathematics Subject Classification ID

Sequential statistical design (62L05) Stochastic learning and adaptive control (93E35)

Abstract: We consider the problem of sequential sampling from a finite number of independent statistical populations to maximize the expected infinite horizon average outcome per period, under a constraint that the expected average sampling cost does not exceed an upper bound. The outcome distributions are not known. We construct a class of consistent adaptive policies, under which the average outcome converges with probability 1 to the true value under complete information for all distributions with finite means. We also compare the rate of convergence for various policies in this class using simulation.

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Cites work

• Asymptotically efficient adaptive allocation rules
• Finite-time analysis of the multiarmed bandit problem
• Finite-time lower bounds for the two-armed bandit problem
• Gittins indices and constrained allocation in clinical trials
• Learning Theory
• Optimal Adaptive Policies for Markov Decision Processes
• Optimal adaptive policies for sequential allocation problems
• Some aspects of the sequential design of experiments

Cited in

(3)

• Asymptotically optimal multi-armed bandit policies under a cost constraint
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• Sequential sampling to myopically maximize the expected value of information

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