A short proof of the Gittins index theorem (Q1327612)

There are several alternative proofs of the Gittins index theorem for the multi-armed bandit problem, and this paper presents yet another proof of the same celebrated result. Unlike previous proofs based on (different) interchange arguments this proof is based on an inductive argument leading to easy calculations. The proof is valid only for the case of finite state space bandits, because the induction is in terms of the number of possible states of the involved bandits.