The set-indexed bandit problem

Motivated by spatial problems of allocations, we give a proof of the existence of an optimal solution to a set-indexed formulation of the bandit problem. The proof is based on a compactization of collections of fuzzy stopping sets and fuzzy optional increasing paths, and a construction of set-indexed integrals.

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Year of publication:	2002
Authors:	Aletti, Giacomo ; Merzbach, Ely
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 101.2002, 1, p. 127-142
Publisher:	Elsevier
Keywords:	Set-indexed processes Bandit problem Stochastic control Randomization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873149