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One-armed bandit problems with covariates. (English) Zbl 0757.62038

Summary: As does M. Woodroofe [J. Am. Stat. Assoc. 74, 799-806 (1979; Zbl 0442.62063)] we consider a Bayesian sequential allocation between two treatments that incorporates a covariate. The goal is to maximize the total discounted expected reward from an infinite population of patients. Although our model is more general than Woodroofe’s, we are able to duplicate his main result: The myopic rule is asymptotically optimal.

MSC:

62L10 Sequential statistical analysis
62P10 Applications of statistics to biology and medical sciences; meta analysis

Citations:

Zbl 0442.62063
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