Discrete multiarmed bandits and multiparameter processes
type: Item
instance of: scholarly article
title: Discrete multiarmed bandits and multiparameter processes
zbMATH Open document ID: 0788.60056
DOI: 10.1007/BF00366276
author: Avishai Mandelbaum
publication date: 1994-04-21T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 528195
zbMATH Keywords: multiarmed bandit problem
zbMATH Keywords: dynamic allocation index
zbMATH Keywords: Gittins index
zbMATH Keywords: switching strategies
MaRDI profile type: Publication
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published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 528195