Bandit Problems with Levy Processes

• 成果类型: Article
• 署名作者: Cohen, Asaf; Solan, Eilon
• 署名单位: Tel Aviv University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1120.0564
• 发表日期: 2013
• 页码: 92-107
• 关键词: Strategic experimentation; Poisson

摘要

Bandit problems model the trade-off between exploration and exploitation in various decision problems. We study two-armed bandit problems in continuous time, where the risky arm can have two types: High or Low; both types yield stochastic payoffs generated by a Levy process. We show that the optimal strategy is a cut-off strategy and we provide an explicit expression for the cut-off and for the optimal payoff.