Linear Programming for Finite State Multi-Armed Bandit Problems

DOI10.1287/MOOR.11.1.180MaRDI QIDQ3722294zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Yih Ren Chen, Michael N. Katehakis

Publication date 1986

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/26372b839c3c7266edb3a5b67d76e74463469a73

zbMATH Keywords

dynamic allocation indicesfinite state spacemulti-armed bandit problem

Mathematics Subject Classification ID

Linear programming (90C05) Markov and semi-Markov decision processes (90C40)

Cited in

(10)

• Optimal stopping problems for multiarmed bandit processes with arms' independence
• Multi-armed bandit models for the optimal design of clinical trials: benefits and challenges
• On Solving Finite State Multi-Armed Bandit Problem by Linear Programming
• Branching Bandit Processes
• Derman's book as inspiration: some results on LP for MDPs
• A bisection/successive approximation method for computing Gittins indices
• Survey of linear programming for standard and nonstandard Markovian control problems. Part II: Applications
• scientific article; zbMATH DE number 7626799 (Why is no real title available?)
• Information Acquisition Under Resource Limitations in a Noisy Environment
• Testing indexability and computing Whittle and Gittins index in subcubic time

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