A Short Proof of the Gittins Index Theorem
Tsitsiklis, John N.
Ann. Appl. Probab., Tome 4 (1994) no. 4, p. 194-199 / Harvested from Project Euclid
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We provide a short and elementary proof of the Gittins index theorem for the multi-armed bandit problem, for the case where each bandit is modeled as a finite-state semi-Markov process. We also indicate how this proof can be extended to the branching bandits and Klimov problems.
Publié le : 1994-02-14
Classification:  Multi-armed bandit problem,  branching bandits,  Klimov's problem,  priority scheduling,  60G40,  90B35,  62L05,  90C40 
@article{1177005207,
     author = {Tsitsiklis, John N.},
     title = {A Short Proof of the Gittins Index Theorem},
     journal = {Ann. Appl. Probab.},
     volume = {4},
     number = {4},
     year = {1994},
     pages = { 194-199},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177005207}
}

Tsitsiklis, John N. A Short Proof of the Gittins Index Theorem. Ann. Appl. Probab., Tome 4 (1994) no. 4, pp.  194-199. http://gdmltest.u-ga.fr/item/1177005207/