Donchev, Doncho - In: Mathematical Methods of Operations Research 47 (1998) 3, pp. 401-422
We consider the symmetrical case of the Poissonian variant of the two-armed bandit problem. We suppose that at jump-times of a non-observed Poisson process sequential switching of the bandit arms occurs. The optimality of the myopic policy is proved for all sufficiently large switching rates. In...
