Multi-armed bandits with discount factor near one: The Bernoulli case

DOI10.1214/aos/1176345578zbMath0478.90073OpenAlexW2095160246MaRDI QIDQ1161450

F. P. Kelly

Publication date: 1981

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345578

zbMATH Keywords

Gittins indexasymptotic boundsmulti-armed banditdiscount optimalityBernoulli bandit processexpected average reward optimalityinfinite sequence of Bernoulli random variablesleast failures rulelimit ruleoptimal arm pulling strategyplay-the-winner rule

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Sequential statistical design (62L05) Optimal stopping in statistics (62L15)

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Sequential allocation in clinical trials ⋮ On optimal search with unknown detection probabilities ⋮ Dynamic priority allocation via restless bandit marginal productivity indices ⋮ An asymptotically optimal heuristic for general nonstationary finite-horizon restless multi-armed, multi-action bandits ⋮ Gittins' theorem under uncertainty ⋮ Branching Bandit Processes ⋮ Finite state multi-armed bandit problems: Sensitive-discount, average-reward and average-overtaking optimality

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