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On a new approach to the analysis of complex multi-armed bandits

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Abstract.

A radically new approach to indexable systems pioneered by Bertsimas and Niño-Mora is utilised to provide novel analyses of classes of complex multi-armed bandits in which the individual bandits have their own decision structure. A new index result for an undiscounted model is established. Parallel server versions of the models are studied via (the dual of) an LP relaxation. This analysis yields a natural heuristic policy which is evaluated numerically.

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Authors and Affiliations

  1. Department of Statistics, Newcastle University, Newcastle upon Tyne, NE1 7RU, UK, , , , , , GB

    R. Garbe & K. D. Glazebrook

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  1. R. Garbe
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  2. K. D. Glazebrook
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Received March 1997/Revised version April 1998

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Garbe, R., Glazebrook, K. On a new approach to the analysis of complex multi-armed bandits. Mathematical Methods of OR 48, 419–442 (1998). https://doi.org/10.1007/s001860050036

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  • DOI: https://doi.org/10.1007/s001860050036