Zero-sum Games for Discrete-time Multi-armed Bandit Processes with a Generalized Discount

DOI10.1080/02522667.1992.10699109MaRDI QIDQ4024144zbMATH OpenOpenAlexFDO

Authors Yuji Yoshida

Publication date 25 February 1993

Published in Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02522667.1992.10699109

zbMATH Keywords

Bellman's equationmulti-armed bandit processesmulti-parameter Markov processesvalue iteration

Mathematics Subject Classification ID

2-person games (91A05) Stochastic games, stochastic differential games (91A15)

Review text

The present paper deals with zero-sum games for multi-armed bandit processes with a generalized discount and solves them as control problems of multi-parameter Markov processes. This paper is to give the unique optimal value and the Markov strategies, which are constructed by Bellman's equation derived from a value iteration.

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Cites work

• Discrete multiarmed bandits and multiparameter processes
• Evaluating strategies for generalized bandit problems
• scientific article; zbMATH DE number 194374 (Why is no real title available?)
• Markov strategies for optimal control problems indexed by a partially ordered set
• Optimal stopping and supermartingales over partially ordered sets

Cited in

(3)

• Playing in stochastic environment: from multi-armed bandits to two-player games
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• An optimal stopping zero-sum game in discrete-time multi-armed bandit processes

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