Exponential asymptotic optimality of Whittle index policy
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DOI: 10.1007/s11134-023-09875-x
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- Kurtz, Thomas G., 1978. "Strong approximation theorems for density dependent Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 6(3), pages 223-240, February.
- David B. Brown & James E. Smith, 2020. "Index Policies and Performance Bounds for Dynamic Selection Problems," Management Science, INFORMS, vol. 66(7), pages 3029-3050, July.
- P. S. Ansell & K. D. Glazebrook & J. Niño-Mora & M. O'Keeffe, 2003. "Whittle's index policy for a multi-class queueing system with convex holding costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 57(1), pages 21-39, April.
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Keywords
Multi-armed bandits; Whittle index; Asymptotic optimality;All these keywords.
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