Multi-armed bandits in discrete and continuous time (Q1296724): Difference between revisions

This paper analyzes Gittin's Markovian model in discrete and continuous time. Using multi-parameter processes and excursion theory, the authors show that index-priority strategies are optimal and express the optimal value in terms of indices.

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zbMATH Keywords

multi-armed bandits

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optimal increasing paths

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multiparameter process

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excursion

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local time

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dual predictable projection

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reviewed by

Makiko Nisio

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1214/aoap/1028903380

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General Gittins index processes in discrete time.

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Dynamic allocation problems in continuous time

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Q4692329

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Q4057976

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Q3746615

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Lévy bandits: Multi-armed bandits driven by Lévy processes

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Discrete multiarmed bandits and multiparameter processes

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Continuous multi-armed bandits and multiparameter processes

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Optimal stopping and supermartingales over partially ordered sets

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Q3998711

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Q4040434

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Applications of Martingale System Theorems

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Extensions of the multiarmed bandit problem: The discounted case

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Q3906202

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On the Gittins index for multiarmed bandits

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Q3882215

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Identifiers

zbMATH Open document ID

0940.60063

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Mathematics Subject Classification ID

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10.1214/AOAP/1028903380

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Sitelinks

Mathematics(1 entry)

mardi Publication:1296724

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+Normal rank
@@ Property / cites work @@
+Discrete multiarmed bandits and multiparameter processes
+Normal rank
@@ Property / cites work @@
+Continuous multi-armed bandits and multiparameter processes
+Normal rank
@@ Property / cites work @@
+Optimal stopping and supermartingales over partially ordered sets
+Normal rank
@@ Property / cites work @@
+Q3998711
@@ Property / cites work: Q3998711 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040434
@@ Property / cites work: Q4040434 / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Martingale System Theorems
@@ Property / cites work: Applications of Martingale System Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Extensions of the multiarmed bandit problem: The discounted case
+Normal rank
@@ Property / cites work @@
+Q3906202
@@ Property / cites work: Q3906202 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Gittins index for multiarmed bandits
@@ Property / cites work: On the Gittins index for multiarmed bandits / rank @@
+Normal rank
@@ Property / cites work @@
+Q3882215
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@@ Property / DOI: 10.1214/AOAP/1028903380 / rank @@
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