Monotonic Approximation of the Gittins Index

Xikui Wang ()
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Xikui Wang: University of Manitoba, Department of Statistics

Chapter Chapter 22 in Markov Processes and Controlled Markov Chains, 2002, pp 363-367 from Springer

Abstract: Abstract The Gittins index is useful in the study of bandit processes and Markov decision processes, and can be approximated by finite horizon break-even values determined in the truncated finite horizon models. These break-even values are shown to form a nondecreasing sequence. A finite horizon optimal stopping solution is also derived.

Keywords: Markov decision processes; bandit processes; Gittins index; dynamic programming; geometric discounts; optimal stopping (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_22

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DOI: 10.1007/978-1-4613-0265-0_22

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