The Annals of Mathematical Statistics

Contributions to the "Two-Armed Bandit" Problem

Dorian Feldman

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Abstract

The Bayes sequential design is obtained for an optimization problem involving the choice of experiments. Given are experiments $A, B$, densities $p_1, p_2$, a positive integer $N$ and a number $\xi \varepsilon \lbrack 0, 1\rbrack$. A sequence of $N$ observations is to be made such that at each stage either $A$ or $B$ is observed, the loss being 1 if the experiment with density $p_2$ is chosen, 0 otherwise. $\xi$ is the prior probability that $A$ has density $p_1$. If the mean of $p_1$ is bigger than the mean of $p_2$ one obtains a more common version of the "two-armed bandit" (see e.g. [1]). The principal result of this paper is a proof of optimality for the procedure which at each stage chooses the experiment with higher posterior probability of being correct. Some attention is also given to the problem of computing risk functions.

Article information

Source
Ann. Math. Statist., Volume 33, Number 3 (1962), 847-856.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177704454

Digital Object Identifier
doi:10.1214/aoms/1177704454

Mathematical Reviews number (MathSciNet)
MR145625

Zentralblatt MATH identifier
0113.14801

JSTOR
links.jstor.org

Citation

Feldman, Dorian. Contributions to the "Two-Armed Bandit" Problem. Ann. Math. Statist. 33 (1962), no. 3, 847--856. doi:10.1214/aoms/1177704454. https://projecteuclid.org/euclid.aoms/1177704454


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