A generalized Gittins index for a Markov chain and its recursive calculation

Isaac M. Sonin

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1526-1533

Abstract: We discuss the generalization of the classical Gittins Index for a Markov chain and propose a transparent recursive algorithm for its calculation. The foundation for this algorithm is a modified version of the Elimination algorithm proposed earlier by the author to solve the problem of optimal stopping of a Markov chain in discrete time and a finite or countable state space.

Date: 2008
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