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Biometrika 1977 64(1):172-174; doi:10.1093/biomet/64.1.172
© 1977 by Biometrika Trust
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Miscellanea

Bayesian rules for the two-armed bandit problem

DAVID L. WAHRENBERGER, CHARLES E. ANTLE and LAWRENCE A. KLIMKO

Department of Statistics, Pennsylvania State University

Recently Fox has suggested and evaluated several non-Bayesian rules for the problem of the two-armed bandit. It this paper several Bayesian rules for this problem are compared with the best of Fox's rules. If a reasonably appropriate prior is used, the Bayesian rules are better than Fox's rule. Furthermore, the Bayesian rules are quite robust with regard to the choice of a prior.

Key Words: Bayesian decision rule • Dynamic programming • Medical trial • Optimal treatment assignment • Two binomial problem


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