Structured policies in the sequential design of experiments |
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Authors: | Ulrich Rieder Hartmut Wagner |
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Institution: | (1) Department of Mathematics, University of Ulm, D-7900 Ulm, Germany |
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Abstract: | A general control model under uncertainty is considered. Using a Bayesian approach and dynamic programming, we investigate structural properties of optimal decision rules. In particular, we show the monotonicity of the total expected reward and of the so-called Gittins-Index. We extend the stopping rule and the stay-on-a-winner rule, which are well-known in bandit problems. Our approach is based on the multivariate likelihood ratio order andTP
2 functions. |
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