Exact solution of the Bellman equation for a -discounted reward in a two-armed bandit with switching arms
Received01 May 1998
Revised01 Oct 1998
We consider the symmetric Poissonian two-armed bandit problem. For the case of switching arms, only one of which creates reward, we solve explicitly the Bellman equation for a -discounted reward and prove that a myopic policy is optimal.
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