Multi-armed bandits in discrete and continuous time
type: Item
instance of: scholarly article
title: Multi-armed bandits in discrete and continuous time
zbMATH Open document ID: 0940.60063
author: Haya Kaspi
author: Avishai Mandelbaum
published in: The Annals of Applied Probability
publication date: 2000-07-19T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J55
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1319912
zbMATH Keywords: multi-armed bandits
zbMATH Keywords: optimal increasing paths
zbMATH Keywords: multiparameter process
zbMATH Keywords: excursion
zbMATH Keywords: local time
zbMATH Keywords: dual predictable projection
reviewed by: Makiko Nisio
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1028903380
OpenAlex ID: W2129239159
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DOI: 10.1214/AOAP/1028903380
description: scientific article; zbMATH DE number 1319912