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On transforming an index for generalised bandit problems

Published online by Cambridge University Press:  14 July 2016

K. D. Glazebrook  and
S. Greatrix
K. D. Glazebrook*
Affiliation:
University of Newcastle upon Tyne
S. Greatrix*
Affiliation:
University of Newcastle upon Tyne
*
∗Postal address: Department of Mathematics and Statistics, University of Newcastle upon Tyne, NE1 7RU, UK.
∗Postal address: Department of Mathematics and Statistics, University of Newcastle upon Tyne, NE1 7RU, UK.
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Abstract

Nash (1980) demonstrated that index policies are optimal for a class of generalised bandit problem. A transform of the index concerned has many of the attributes of the Gittins index. The transformed index is positive-valued, with maximal values yielding optimal actions. It may be characterised as the value of a restart problem and is hence computable via dynamic programming methodologies. The transformed index can also be used in procedures for policy evaluation.

Keywords

GITTINS INDEXMARKOV DECISION PROCESSPOLICY EVALUATIONRESTART PROBLEMVALUE ITERATION

MSC classification

Primary: 90C40: Markov and semi-Markov decision processes
Type
Research Papers
Information
Journal of Applied Probability , Volume 32 , Issue 1 , March 1995 , pp. 168 - 182
Copyright
Copyright © Applied Probability Trust 1995 

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