Multi-armed bandits in discrete and continuous time

Haya Kaspi · Avishai Mandelbaum

46 citations0/0 files storedThe Annals of Applied Probability

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Advanced Bandit Algorithms Research Advanced Queuing Theory Analysis Optimization and Search Problems

Abstract

We analyze Gittins' Markovian model, as generalized by Varaiya, Walrand and Buyukkoc, in discrete and continuous time. The approach resembles Weber's modification of Whittle's, within the framework of both multi-parameter processes and excursion theory. It is shown that index-priority strategies are optimal, in concert with all the special cases that have been treated previously.

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References

1990Multi-Armed Bandit Allocation Indices.1987Bandit Problems, Sequential Allocation of Experiments.1980Multi-Armed Bandits and the Gittins Index 1985Extensions of the multiarmed bandit problem: The discounted case 1992On the Gittins Index for Multiarmed Bandits 1994Dynamic Allocation Problems in Continuous Time 1987Continuous Multi-Armed Bandits and Multiparameter Processes 1996Sequential Stochastic Optimization

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2000Variably Skewed Brownian Motion

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