GENERAL GITTINS INDEX PROCESSES IN DISCRETE-TIME

被引：10

作者：

ELKAROUI, N ^{[1
]}

KARATZAS, I ^{[1
]}

机构：

[1] COLUMBIA UNIV,DEPT STAT,NEW YORK,NY 10027

来源：

PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA | 1993年 / 90卷 / 04期

关键词：

DYNAMIC ALLOCATION; OPTIMAL STOPPING;

D O I：

10.1073/pnas.90.4.1232

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

We combine the formulation of Mandelbaum [Mandelbaum, A. (1986) Probab. Theory Rel. Fields 71, 129-147] with ideas from Whittle [Whittle, P. (1980) J. R. Stat. Soc. B 42, 143-149] to obtain a simple and constructive proof for the optimality of Gittins index processes in the general, non-markovian dynamic allocation (or ''multi-armed bandit'') problem. Our approach also provides an explicit expression for the value of this problem.

引用

页码：1232 / 1236

页数：5

共 9 条

[1]

GITTINS JC, 1979, J ROY STAT SOC B MET, V41, P148

[2]

GITTINS JC, 1989, MULTIARMED BANDITS A

[3] OPTIMAL STOPPING AND SUPERMARTINGALES OVER PARTIALLY ORDERED SETS [J].