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Independently Expiring Multiarmed Bandits

Published online by Cambridge University Press:  27 July 2009

Rhonda Righter  and
J. George Shanthikumar
Rhonda Righter
Affiliation:
Department of Operations and Management Information Systems, Santa Clara University, Santa Clara, California 95053
J. George Shanthikumar
Affiliation:
Department of Industrial Engineering and Operations Research and Walter A. Haas School of BusinessUniversity of California, Berkeley, Berkeley, California 94720
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Abstract

We give conditions on the optimality of an index policy for multiarmed bandits when arms expire independently. We also give a new simple proof of the optimality of the Gittins index policy for the classic multiarmed bandit problem.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 12 , Issue 4 , October 1998 , pp. 453 - 468
Copyright
Copyright © Cambridge University Press 1998

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