Author:
Glazebrook K. D.,Greatrix S.
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
5 articles.
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