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.
|Date of creation:||Oct 1999|
|Date of revision:|
|Publication status:||Published in Journal of Economic Dynamics and Control (2001), 25(1): 1585-1594|
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- Banks, J.s. & Sunderam, R.K., 1991.
RCER Working Papers
277, University of Rochester - Center for Economic Research (RCER).
- Weitzman, Martin L, 1979.
"Optimal Search for the Best Alternative,"
Econometric Society, vol. 47(3), pages 641-54, May.
- Banks, Jeffrey S & Sundaram, Rangarajan K, 1994. "Switching Costs and the Gittins Index," Econometrica, Econometric Society, vol. 62(3), pages 687-94, May.
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