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Multi-Armed Bandits and the Gittins Index

P. Whittle
Journal of the Royal Statistical Society. Series B (Methodological)
Vol. 42, No. 2 (1980), pp. 143-149
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/2984953
Page Count: 7
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Multi-Armed Bandits and the Gittins Index
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Abstract

A plausible conjecture (C) has the implication that a relationship (12) holds between the maximal expected rewards for a multi-project process and for a one-project process (F and φi respectively), if the option of retirement with reward M is available. The validity of this relation and optimality of Gittins' index rule are verified simultaneously by dynamic programming methods. These results are partially extended to the case of so-called "bandit superprocesses".

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