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.
The set-indexed bandit problem / G. Aletti, E. Merzbach. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 101:1(2002), pp. 127-142.
The set-indexed bandit problem
G. AlettiPrimo
;
2002
Abstract
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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