Linear Programming for Finite State Multi-Armed Bandit Problems

Yih Ren Chen · Michael N. Katehakis

76 citations0/0 files storedMathematics of Operations Research

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Advanced Bandit Algorithms Research Reinforcement Learning in Robotics Optimization and Search Problems

Abstract

We consider the multi-armed bandit problem. We show that when the state space is finite the computation of the dynamic allocation indices can be handled by linear programming methods.

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1952Some aspects of the sequential design of experiments 1979Bandit Processes and Dynamic Allocation Indices 1980Multi-Armed Bandits and the Gittins Index 1987The Multi-Armed Bandit Problem: Decomposition and Computation

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1986A Note on M. N. Katehakis' and Y.-R. Chen's Computation of the Gittins Index 2013Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats 2007A (2/3) n 3 Fast-Pivoting Algorithm for the Gittins Index and Optimal Stopping of a Markov Chain 2019Multi-Armed Bandits: Theory and Applications to Online Learning in Networks

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