Discrete multiarmed bandits and multiparameter processes (Q1317211)
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scientific article; zbMATH DE number 528195
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete multiarmed bandits and multiparameter processes |
scientific article; zbMATH DE number 528195 |
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Discrete multiarmed bandits and multiparameter processes (English)
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21 April 1994
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The author reformulates the multiarmed bandit problem in discrete time as an optimal stochastic control problem for a multiparameter process. Within this framework, the dynamic allocation index, the so-called Gittins index, becomes a multiparameter process, and it is shown how it leads to optimal solutions. The main advantage of such an approach is that it provides a convenient and elegant representation of switching strategies by using the notion of optimal increasing paths or strategies over a partially ordered set.
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multiarmed bandit problem
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dynamic allocation index
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Gittins index
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switching strategies
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