JSM 2003 Online Program

Abstract #301486

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Activity Number:	22
Type:	Contributed
Date/Time:	Sunday, August 3, 2003 : 2:00 PM to 3:50 PM
Sponsor:	Section on Bayesian Stat. Sciences
Abstract - #301486
Title:	Some Results on Bandit Problems with Infinitely Many Arms
Author(s):	Chien-Tai Lin*+
Companies:	Tamkang University
Address:	Dept. of Mathematics, Tamsui, , 251, Taiwan
Keywords:	sequential experimentation ; dynamic allocation of Bernoulli processes
Abstract:	A bandit problem consisting of a sequence of choices from a number of infinitely many Bernoulli arms is considered. The parameters of Bernoulli arms are independent and identically distributed random variables from a common distribution F on the interval [0, 1], and F is continuous with F(0)=0 and F(1)=1. We derive the asymptotic expected failure rates of k-failure strategies, and obtain a lower bound for the expected failure proportion over all strategies presented in Berry et al. (1997).

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