DocumentCode
2098931
Title
A short proof of the Gittins index theorem
Author
Tsitsiklis, John N.
Author_Institution
Lab. for Inf. & Decision Syst., MIT, Cambridge, MA, USA
fYear
1993
fDate
15-17 Dec 1993
Firstpage
389
Abstract
Provides a short and elementary proof of the Gittins index theorem for the multi-armed bandit problem, for the case where each bandit is modeled as a finite-state semi-Markov process. The author also indicates how this proof can be extended to the branching bandits and Klimov problems
Keywords
Markov processes; game theory; probability; Gittins index theorem; Klimov problems; branching bandits; finite-state semi-Markov process; multi-armed bandit problem; History; Laboratories; Random variables; State-space methods;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location
San Antonio, TX
Print_ISBN
0-7803-1298-8
Type
conf
DOI
10.1109/CDC.1993.325122
Filename
325122
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