General Gittins index processes in discrete time.

DOI10.1073/pnas.90.4.1232zbMath0783.60046OpenAlexW2124053366WikidataQ36097124 ScholiaQ36097124MaRDI QIDQ4696365

Ioannis Karatzas, Nicole El Karoui

Publication date: 29 June 1993

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.90.4.1232

zbMATH Keywords

multi-armed bandit problemgeneral, non-Markovian dynamic allocationoptimality of Gittins index processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)

Related Items (6)

MULTI-ARMED BANDITS UNDER GENERAL DEPRECIATION AND COMMITMENT ⋮ Empirical Gittins index strategies with \(\varepsilon\)-explorations for multi-armed bandit problems ⋮ A generalized Gittins index for a Markov chain and its recursive calculation ⋮ Gittins' theorem under uncertainty ⋮ Multi-armed bandits in discrete and continuous time ⋮ A General Theory of MultiArmed Bandit Processes with Constrained Arm Switches

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