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

DOI10.1287/moor.11.1.184zbMath0607.90088OpenAlexW2165607877WikidataQ56001617 ScholiaQ56001617MaRDI QIDQ3748086

Lodewijk C. M. 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

multi-armed banditparametric linear programsequence of linear programscomputation of the Gittins indices

Mathematics Subject Classification ID

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

Related Items (5)

A bisection/successive approximation method for computing Gittins indices ⋮ Derman's book as inspiration: some results on LP for MDPs ⋮ Index policy for multiarmed bandit problem with dynamic risk measures ⋮ Survey of linear programming for standard and nonstandard Markovian control problems. Part II: Applications ⋮ Branching Bandit Processes

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