Stationary multi-choice bandit problems
AbstractThis 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 InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 25 (2001)
Issue (Month): 10 (October)
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- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
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