Der diskontierte Einarmige Bandit |
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Authors: | Dipl. Math. J. Fischer |
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Affiliation: | (1) Inst. für Statistik und Unternehmensforschung, TU München, Barerstr. 23, D-8000 München 2 |
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Abstract: | Summary A sequential stochastic process is observed in discrete time intervals; the process is generated by Bernoulli trials with unknown meanp. Given an a-priori distribution forp, regarded as a random variable, and discounting future payoffs with a factor , O<<1, optimal and suboptimal stopping rules (depending on ) are constructed. this leads to the connection of the process under consideration with another process of the same structure, but with known meanPo for the Bernoulli trials, thus finally resulting in an One-Armed-Bandit problem. |
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