On the Gittins Index for Multiarmed Bandits
Open Access
- 1 November 1992
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Applied Probability
- Vol. 2 (4) , 1024-1033
- https://doi.org/10.1214/aoap/1177005588
Abstract
This paper considers the multiarmed bandit problem and presents a new proof of the optimality of the Gittins index policy. The proof is intuitive and does not require an interchange argument. The insight it affords is used to give a streamlined summary of previous research and to prove a new result: The optimal value function is a submodular set function of the available projects.Keywords
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