A Note on M. N. Katehakis' and Y.-R. Chen's Computation of the Gittins Index

DOI10.1287/MOOR.11.1.184MaRDI QIDQ3748086zbMATH OpenOpenAlexWikidataFDO

Authors Lodewijk Kallenberg

Publication date 1986

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

Full work available at URL https://semanticscholar.org/paper/770cc65de35f697d1de54e3aae7fffe525b04105

zbMATH Keywords

computation of the Gittins indicesmulti-armed banditparametric linear programsequence of linear programs

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Nonlinear programming (90C30) Sensitivity, stability, parametric optimization (90C31) Markov and semi-Markov decision processes (90C40)

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Cited in

(5)

• 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
• Index policy for multiarmed bandit problem with dynamic risk measures

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