Multi-armed bandits in discrete and continuous time (Q1296724)
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scientific article; zbMATH DE number 1319912
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-armed bandits in discrete and continuous time |
scientific article; zbMATH DE number 1319912 |
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Multi-armed bandits in discrete and continuous time (English)
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19 July 2000
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This paper analyzes Gittin's Markovian model in discrete and continuous time. Using multi-parameter processes and excursion theory, the authors show that index-priority strategies are optimal and express the optimal value in terms of indices.
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multi-armed bandits
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optimal increasing paths
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multiparameter process
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excursion
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local time
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dual predictable projection
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