Stationary Multi Choice Bandit Problems

Dirk Bergemann and Juuso Vaimaki
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Juuso Vaimaki: Northwestern Univ. and Univ. Southampton

No 1240, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This note shows that the optimal choice of k simultaneous experiments in a stationary multi-armed bandit problem can be characterized in terms of the Gittins index of each arm. The index characterization remains equally valid after the introduction of switching costs.

Keywords: multi-armed bandits; Gittins index; Stationary bandits; Job search (search for similar items in EconPapers)
JEL-codes: D81 D83 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1999-10
Note: CFP 1022.
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Published in Journal of Economic Dynamics and Control (2001), 25(1): 1585-1594

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