Title :
A short proof of the Gittins index theorem
Author :
Tsitsiklis, John N.
Author_Institution :
Lab. for Inf. & Decision Syst., MIT, Cambridge, MA, USA
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;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325122
