Multi-armed bandits in discrete and continuous time

• 成果类型: Article
• 署名作者: Kaspi, H; Mandelbaum, A
• 署名单位: Technion Israel Institute of Technology
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1998
• 页码: 1270-1290
• 关键词: Gittins index

摘要

We analyze Gittins' Markovian model, as generalized by Varaiya, Walrand and Buyukkoc, in discrete and continuous time. The approach resembles Weber's modification of Whittle's, within the framework, of both multiparameter processes and excursion theory. It is shown that index-priority strategies are optimal, in concert with all the special cases that have been treated previously.