TWO SOLUTION TECHNIQUES FOR ADAPTIVE REINVESTMENT: A SMALL SAMPLE COMPARISON

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Abstract
Two adaptive control techniques are compared in the context of an adaptive reinvestment two-armed bandit problem. The first solution technique is the Bayesian-dynamic programming approach. The distinctive feature of the recently proposed second solution technique is the direct estimation and updating of the criterion function without recourse to explicit probability distribution estimation via Bayes's rule. The control selections generated by the two solution techniques are shown to closely approximate each other. An explanation for this close correspondence is provided by means of an equivalence theorem for control objective specification.

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