Sensitivity of the gittins index in the contiuous time two-armed bandit problem
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Publication:2785416
DOI10.1080/02331939608844264zbMath0891.93025OpenAlexW2025374684MaRDI QIDQ2785416
A. Worku, Hans-Joachim Girlich
Publication date: 20 February 1997
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331939608844264
Stochastic systems and control (93E99) Sensitivity (robustness) (93B35) Continuous location (90B85) Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Cites Work
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- Randomization in the two-armed bandit problem
- Gittins indices in the dynamic allocation problem for diffusion processes
- Continuous multi-armed bandits and multiparameter processes
- Numerical solution of SDE through computer experiments. Including floppy disk
- Continuous-time allocation indices and their discrete-time approximation
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