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Stationary multi-choice bandit problems

Stationary multi-choice bandit problems
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.
multi-armed bandits, Gittins index, stationary bandits, job search
0165-1889
1585-1594
Bergemann, Dirk
436929ea-1d3f-48d5-bf4f-08ef4a2d74b4
Valimaki, Juuso
6cb468e1-96a7-4632-8db2-906714498ce2
Bergemann, Dirk
436929ea-1d3f-48d5-bf4f-08ef4a2d74b4
Valimaki, Juuso
6cb468e1-96a7-4632-8db2-906714498ce2

Bergemann, Dirk and Valimaki, Juuso (2001) Stationary multi-choice bandit problems. Journal of Economic Dynamics and Control, 25 (10), 1585-1594. (doi:10.1016/S0165-1889(99)00064-0).

Record type: Article

Abstract

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.

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More information

Published date: 2001
Keywords: multi-armed bandits, Gittins index, stationary bandits, job search

Identifiers

Local EPrints ID: 33055
URI: http://eprints.soton.ac.uk/id/eprint/33055
ISSN: 0165-1889
PURE UUID: b1429343-eb1b-4dc0-8832-65f908c01234

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Date deposited: 15 May 2006
Last modified: 15 Mar 2024 07:41

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Contributors

Author: Dirk Bergemann
Author: Juuso Valimaki

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