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Denumerable-Armed Bandits

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  • Banks, Jeffrey S
  • Sundaram, Rangarajan K

Abstract

This paper studies the class of denumerable-armed (i.e., finite- or countably infinite-armed) Bandit problems with independent arms and geometric discounting over an infinite horizon in which each arm generates rewards according to one of a finite number of distributions. The authors derive certain continuity and curvature properties of the Gittins Index, and provide necessary and sufficient conditions under which this index characterizes the optimal strategies. They then show that at each point in time the arm selected by an optimal strategy will, with positive probability, remain an optimal selection forever. Copyright 1992 by The Econometric Society.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 60 (1992)
Issue (Month): 5 (September)
Pages: 1071-96

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Handle: RePEc:ecm:emetrp:v:60:y:1992:i:5:p:1071-96

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Cited by:
  1. Araujo, Luis & Camargo, Braz, 2008. "Endogenous supply of fiat money," Journal of Economic Theory, Elsevier, vol. 142(1), pages 48-72, September.
  2. Jean Guillaume Forand, 2010. "Keeping Your Options Open," RCER Working Papers 557, University of Rochester - Center for Economic Research (RCER).
  3. Araujo, Luis & Camargo, Braz, 2006. "Information, learning, and the stability of fiat money," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1571-1591, October.
  4. Cripps, Martin W., 2013. "Optimal learning of a set: Or how to edit a journal if you must," Economics Letters, Elsevier, vol. 120(3), pages 384-388.
  5. Kung-Yu Chen & Chien-Tai Lin, 2005. "A note on infinite-armed Bernoulli bandit problems with generalized beta prior distributions," Statistical Papers, Springer, vol. 46(1), pages 129-140, January.
  6. Elena Pastorino, 2004. "Optimal Job Design and Career Dynamics in the Presence of Uncertainty," Econometric Society 2004 North American Summer Meetings 292, Econometric Society.
  7. Epstein, Gil S., 1996. "The extraction of natural resources from two sites under uncertainty," Economics Letters, Elsevier, vol. 51(3), pages 309-313, June.
  8. Bergemann, Dirk & Valimaki, Juuso, 2001. "Stationary multi-choice bandit problems," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1585-1594, October.
  9. Luis Araujo & Braz Camargo, 2005. "Monetary Equilibrium with Decentralized Trade and Learning," UWO Department of Economics Working Papers 20051, University of Western Ontario, Department of Economics.
  10. Dirk Bergemann & Juuso Valimaki, 1996. "Learning and Strategic Pricing," Cowles Foundation Discussion Papers 1113, Cowles Foundation for Research in Economics, Yale University.
  11. Klimenko, Mikhail M., 2004. "Industrial targeting, experimentation and long-run specialization," Journal of Development Economics, Elsevier, vol. 73(1), pages 75-105, February.
  12. Chien-Tai Lin & C. Shiau, 2000. "Some Optimal Strategies for Bandit Problems with Beta Prior Distributions," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(2), pages 397-405, June.
  13. Keller, Godfrey & Oldale, Alison, 2003. "Branching bandits: a sequential search process with correlated pay-offs," Journal of Economic Theory, Elsevier, vol. 113(2), pages 302-315, December.

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