A Note on M. N. Katehakis' and Y.-R. Chen's Computation of the Gittins Index
- 1 February 1986
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Mathematics of Operations Research
- Vol. 11 (1) , 184-186
- https://doi.org/10.1287/moor.11.1.184
Abstract
In a recent paper Katehakis and Chen propose a sequence of linear programs for the computation of the Gittins indices. If there are N projects and project v has Kv states, then ∑v=1N Kv linear programs have to be solved. In this note it is shown that instead of the Kv linear programs for project v also one parametric linear program with the same dimensions can be solved.Keywords
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