A Confirmation of a Conjecture on the Feldman's Two-armed Bandit Problem

06/02/2022

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by   Zengjing Chen, et al.

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Myopic strategy is one of the most important strategies when studying bandit problems. In this paper, we consider the two-armed bandit problem proposed by Feldman. With general distributions and utility functions, we obtain a necessary and sufficient condition for the optimality of the myopic strategy. As an application, we could solve Nouiehed and Ross's conjecture for Bernoulli two-armed bandit problems that myopic strategy stochastically maximizes the number of wins.