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On approximately optimal index strategies for generalised arm problems

Published online by Cambridge University Press:  14 July 2016

N. A. Fay  and
J. C. Walrand
N. A. Fay*
Affiliation:
University of Durham
J. C. Walrand*
Affiliation:
University of California, Berkeley
*
∗ Postal address: Department of Mathematical Sciences, Science Laboratories, South Road, University of Durham, Durham, DH1 3LE, UK.
∗∗ Postal address: Department of Electrical Engineering and Computer Science, College of Engineering, University of California at Berkeley, Berkeley, California, CA 94720, USA.
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Abstract

Nash has extended Gittins' work to describe optimal strategies for a class of generalised bandit problems. Here we use a forwards induction argument to analyse ε -optimal strategies for generalised bandit problems. An evaluation procedure for such problems is described; this may be used to analyse models in research planning and stochastic scheduling.

Keywords

GENERALISED BANDIT PROBLEMGITTINS INDEXε-OPTIMAL STRATEGIESMARKOV DECISION PROCESSEVALUATION PROCEDURE
Type
Research Papers
Information
Journal of Applied Probability , Volume 28 , Issue 3 , September 1991 , pp. 602 - 612
Copyright
Copyright © Applied Probability Trust 1991 

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