Dynamic stochastic dominance in bandit decision problems

Theory and Decision 47 (3):267-295 (1999)

Abstract
The aim of this paper is to study the monotonicity properties with respect to the probability distribution of the state processes, of optimal decisions in bandit decision problems. Orderings of dynamic discrete projects are provided by extending the notion of stochastic dominance to stochastic processes
Keywords Stochastic dynamic programing  Multi-armed bandit problems  Stochastic dominance
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DOI 10.1023/A:1005142630173
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