Authors
Esther Frostig, Gideon Weiss
Publication date
2016/6
Journal
Annals of Operations Research
Volume
241
Issue
1
Pages
127-165
Publisher
Springer US
Description
We study four proofs that the Gittins index priority rule is optimal for alternative bandit processes. These include Gittins’ original exchange argument, Weber’s prevailing charge argument, Whittle’s Lagrangian dual approach, and Bertsimas and Niño-Mora’s proof based on the achievable region approach and generalized conservation laws. We extend the achievable region proof to infinite countable state spaces, by using infinite dimensional linear programming theory.
Total citations
Scholar articles
E Frostig, G Weiss - Annals of Operations Research, 2016