TY  - BOOK
AU  - Fryer,Roland G,Jr
AU  - Harms,Philipp
ED  - National Bureau of Economic Research.
TI  - Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability 
T2  - NBER working paper series
PY  - 2013///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - May 2013; Hardcopy version available to institutional subscribers
N2  - We present a two-armed bandit model of decision making under uncertainty where the expected return to investing in the "risky arm'' increases when choosing that arm and decreases when choosing the "safe'' arm. These dynamics are natural in applications such as human capital development, job search, and occupational choice. Using new insights from stochastic control, along with a monotonicity condition on the payoff dynamics, we show that optimal strategies in our model are stopping rules that can be characterized by an index which formally coincides with Gittins' index. Our result implies the indexability of a new class of "restless'' bandit models
UR  - https://www.nber.org/papers/w19043
UR  - http://dx.doi.org/10.3386/w19043
ER  -