Stationary multi-choice bandit problems
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.
(This abstract was borrowed from another version of this item.)
References listed on IDEAS
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- Weitzman, Martin L, 1979.
"Optimal Search for the Best Alternative,"
Econometric Society, vol. 47(3), pages 641-654, May.
- M. L. Weitzman, 1978. "Optimal Search for the Best Alternative," Working papers 214, Massachusetts Institute of Technology (MIT), Department of Economics.
- Banks, Jeffrey S & Sundaram, Rangarajan K, 1992. "Denumerable-Armed Bandits," Econometrica, Econometric Society, vol. 60(5), pages 1071-1096, September.
- Banks, J.s. & Sunderam, R.K., 1991. "Denumerable-Armed Bandits," RCER Working Papers 277, University of Rochester - Center for Economic Research (RCER).
- Banks, Jeffrey S & Sundaram, Rangarajan K, 1994. "Switching Costs and the Gittins Index," Econometrica, Econometric Society, vol. 62(3), pages 687-694, May. Full references (including those not matched with items on IDEAS)