A Short Proof of the Gittins Index Theorem
John N. Tsitsiklis
Source: Ann. Appl. Probab. Volume 4, Number 1
(1994), 194-199.
Abstract
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.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aoap/1177005207
JSTOR: links.jstor.org
Digital Object Identifier: doi:10.1214/aoap/1177005207
Mathematical Reviews number (MathSciNet): MR1258180
Zentralblatt MATH identifier: 0816.60040
The Annals of Applied Probability
