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On the Gittins Index for Multiarmed Bandits

Richard Weber
The Annals of Applied Probability
Vol. 2, No. 4 (Nov., 1992), pp. 1024-1033
Stable URL: http://www.jstor.org/stable/2959678
Page Count: 10
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
On the Gittins Index for Multiarmed Bandits
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Abstract

This paper considers the multiarmed bandit problem and presents a new proof of the optimality of the Gittins index policy. The proof is intuitive and does not require an interchange argument. The insight it affords is used to give a streamlined summary of previous research and to prove a new result: The optimal value function is a submodular set function of the available projects.

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