Open Access
December, 1991 One-Armed Bandit Problems with Covariates
Jyotirmoy Sarkar
Ann. Statist. 19(4): 1978-2002 (December, 1991). DOI: 10.1214/aos/1176348382


As does Woodroofe, we consider a Bayesian sequential allocation between two treatments that incorporates a covariate. The goal is to maximize the total discounted expected reward from an infinite population of patients. Although our model is more general than Woodroofe's, we are able to duplicate his main result: The myopic rule is asymptotically optimal.


Download Citation

Jyotirmoy Sarkar. "One-Armed Bandit Problems with Covariates." Ann. Statist. 19 (4) 1978 - 2002, December, 1991.


Published: December, 1991
First available in Project Euclid: 12 April 2007

zbMATH: 0757.62038
MathSciNet: MR1135160
Digital Object Identifier: 10.1214/aos/1176348382

Primary: 62L10

Keywords: Asymptotically optimal , Bayesian analysis , myopic policy , one-armed bandit problem , regret , Sequential allocation

Rights: Copyright © 1991 Institute of Mathematical Statistics

Vol.19 • No. 4 • December, 1991
Back to Top