Linear Programming for Finite State Multi-Armed Bandit Problems
- 1 February 1986
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Mathematics of Operations Research
- Vol. 11 (1) , 180-183
- https://doi.org/10.1287/moor.11.1.180
Abstract
We consider the multi-armed bandit problem. We show that when the state space is finite the computation of the dynamic allocation indices can be handled by linear programming methods.Keywords
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