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TheN-armed bandit with unimodal structure

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Abstract

In this paper we study a special class of bandit problems, which are characterized by a unimodal structure of the expected rewards of the arms. In Section 1, the motivation for studying this problem is explained. In the next two sections, two different decision procedures are analyzed, which are based on a stochastic approximation of the best arm of the bandit. Finally, in Section 4, a special procedure is discussed and some numerical data are presented, which were obtained by applying it to a concreteN-armed bandit with unimodal structure.

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Authors and Affiliations

  1. Institute of Applied Mathematics, University of Bonn, Wegelerstraße 6, D-5300, Bonn

    U. Herkenrath

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  1. U. Herkenrath
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Herrn Professor Dr. Walter Vogel zu seinem 60. Geburtstag am 22. Juni 1983 gewidmet

Research supported by the Deutsche Forschungsgemeinschaft, SFB 72.

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Herkenrath, U. TheN-armed bandit with unimodal structure. Metrika 30, 195–210 (1983). https://doi.org/10.1007/BF02056924

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  • DOI: https://doi.org/10.1007/BF02056924

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