Gittins' theorem under uncertainty
We study dynamic allocation problems for discrete time multi-armed bandits under uncertainty, based on the the theory of nonlinear expectations. We show that, under independence assumption on the bandits and with some relaxation in the definition of optimality, a Gittins allocation index gives optim...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics and Bernoulli Society
2022
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