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Generalized Bandit Problems

In: Social Choice and Strategic Decisions

Author

Listed:
  • Rangarajan K. Sundaram

    (New York University)

Abstract

Summary This chapter examines a number of extensions of the multi-armed bandit framework. We consider the possibility of an infinite number of available arms, we give conditions under which the Gittins index strategy is well-defined, and we examine the optimality of that strategy. We then consider some difficulties arising from “parallel search,” in which a decision-maker may pull more than one arm per period, and from the introduction of a cost of switching between arms.

Suggested Citation

  • Rangarajan K. Sundaram, 2005. "Generalized Bandit Problems," Studies in Choice and Welfare, in: David Austen-Smith & John Duggan (ed.), Social Choice and Strategic Decisions, pages 131-162, Springer.
    • Handle: RePEc:spr:stcchp:978-3-540-27295-3_6
    DOI: 10.1007/3-540-27295-X_6
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    Cited by:

    1. José Niño-Mora, 2020. "Fast Two-Stage Computation of an Index Policy for Multi-Armed Bandits with Setup Delays," Mathematics, MDPI, vol. 9(1), pages 1-36, December.
    2. Alessandro Arlotto & Stephen E. Chick & Noah Gans, 2014. "Optimal Hiring and Retention Policies for Heterogeneous Workers Who Learn," Management Science, INFORMS, vol. 60(1), pages 110-129, January.

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