A short proof of the Gittins index theorem
type: Item
instance of: scholarly article
title: A short proof of the Gittins index theorem
zbMATH Open document ID: 0816.60040
author: John N. Tsitsiklis
published in: The Annals of Applied Probability
publication date: 1995-07-06T00:00:00Z
review text: There are several alternative proofs of the Gittins index theorem for the multi-armed bandit problem, and this paper presents yet another proof of the same celebrated result. Unlike previous proofs based on (different) interchange arguments this proof is based on an inductive argument leading to easy calculations. The proof is valid only for the case of finite state space bandits, because the induction is in terms of the number of possible states of the involved bandits.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 90B35
Mathematics Subject Classification ID: 62L05
Mathematics Subject Classification ID: 90C40
zbMATH DE Number: 591427
zbMATH Keywords: multi-armed bandits
zbMATH Keywords: interchange
zbMATH Keywords: induction
zbMATH Keywords: Gittins index theorem
reviewed by: F. Thomas Bruss
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1177005207
OpenAlex ID: W2159471113
DOI: 10.1214/AOAP/1177005207
description: scientific article; zbMATH DE number 591427