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Stationary multi-choice bandit problems

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  • Bergemann, Dirk
  • Valimaki, Juuso

Abstract

This note shows that the optimal choice of k simultaneous experiments in a stationary multi-armed bandit problem can be characterized in terms of the Gittins index of each arm. The index characterization remains equally valid after the introduction of switching costs.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 25 (2001)
Issue (Month): 10 (October)
Pages: 1585-1594

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Handle: RePEc:eee:dyncon:v:25:y:2001:i:10:p:1585-1594

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  1. Banks, Jeffrey S & Sundaram, Rangarajan K, 1992. "Denumerable-Armed Bandits," Econometrica, Econometric Society, vol. 60(5), pages 1071-96, September.
  2. Banks, Jeffrey S & Sundaram, Rangarajan K, 1994. "Switching Costs and the Gittins Index," Econometrica, Econometric Society, vol. 62(3), pages 687-94, May.
  3. Weitzman, Martin L, 1979. "Optimal Search for the Best Alternative," Econometrica, Econometric Society, vol. 47(3), pages 641-54, May.
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Cited by:
  1. Jean Guillaume Forand, 2011. "Keeping Your Options Open," 2011 Meeting Papers 82, Society for Economic Dynamics.
  2. 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.
  3. Thomas Brenner & Nicolaas J. Vriend, 2003. "On the Behavior of Proposers in Ultimatum Games," Working Papers 502, Queen Mary, University of London, School of Economics and Finance.
  4. Alejandro Francetich, 2014. "Experimentation With Menus," Working Papers 516, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. Hart E. Posen & Dirk Martignoni & Daniel A. Levinthal, 2013. "E Pluribus Unum: Organizational Size and the Efficacy of Learning," DRUID Working Papers 13-09, DRUID, Copenhagen Business School, Department of Industrial Economics and Strategy/Aalborg University, Department of Business Studies.

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