Multi-armed Bandit Allocation Indices (Google eBook)
John Wiley & Sons, Feb 18, 2011 - Mathematics - 312 pages
In 1989 the first edition of this book set out Gittins' pioneeringindex solution to the multi-armed bandit problem and his subsequentinvestigation of a wide of sequential resource allocation andstochastic scheduling problems. Since then there has been aremarkable flowering of new insights, generalizations andapplications, to which Glazebrook and Weber have made majorcontributions.
This second edition brings the story up to date. There are newchapters on the achievable region approach to stochasticoptimization problems, the construction of performance bounds forsuboptimal policies, Whittle's restless bandits, and the use ofLagrangian relaxation in the construction and evaluation of indexpolicies. Some of the many varied proofs of the index theorem arediscussed along with the insights that they provide. Manycontemporary applications are surveyed, and over 150 new referencesare included.
Over the past 40 years the Gittins index has helpedtheoreticians and practitioners to address a huge variety ofproblems within chemometrics, economics, engineering, numericalanalysis, operational research, probability, statistics and websitedesign. This new edition will be an important resource for otherswishing to use this approach.