Linear Programming for Finite State Multi-Armed Bandit Problems

DOI10.1287/MOOR.11.1.180zbMATH Open0592.90095DBLPjournals/mor/ChenK86OpenAlexW2104336565WikidataQ56001616 ScholiaQ56001616MaRDI QIDQ3722294FDOQ3722294

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

multi-armed bandit problemdynamic allocation indicesfinite state space

Mathematics Subject Classification ID

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

Cited In (10)

• Multi-armed bandit models for the optimal design of clinical trials: benefits and challenges
• Branching Bandit Processes
• Information Acquisition Under Resource Limitations in a Noisy Environment
• On Solving Finite State Multi-Armed Bandit Problem by Linear Programming
• Derman's book as inspiration: some results on LP for MDPs
• Optimal stopping problems for multiarmed bandit processes with arms' independence
• Title not available (Why is that?)
• Survey of linear programming for standard and nonstandard Markovian control problems. Part II: Applications
• Testing indexability and computing Whittle and Gittins index in subcubic time
• A bisection/successive approximation method for computing Gittins indices

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