A bisection/successive approximation method for computing Gittins indices

A. Ben-Israel; S. D. Flåm

doi:10.1007/BF01421548

A bisection/successive approximation method for computing Gittins indices

A. Ben-Israel, S. D. Flåm

Rutgers Business School, Management & Information Systems

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

An iterative method, combining bisections and successive approximations, is proposed for computing intervals containing the Gittins indices. The intervals could be of a specified maximum length, or be merely disjoint. The first option gives approximations of the Gittins indices. The second option gives a ranking of indices, which in many applications is sufficient.

Original language	English (US)
Pages (from-to)	411-422
Number of pages	12
Journal	ZOR Zeitschrift für Operations Research Methods and Models of Operations Research
Volume	34
Issue number	6
DOIs	https://doi.org/10.1007/BF01421548
State	Published - Nov 1990

All Science Journal Classification (ASJC) codes

General Engineering

Keywords

Gittins indices
bisection
successive approximation

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10.1007/BF01421548

Cite this

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abstract = "An iterative method, combining bisections and successive approximations, is proposed for computing intervals containing the Gittins indices. The intervals could be of a specified maximum length, or be merely disjoint. The first option gives approximations of the Gittins indices. The second option gives a ranking of indices, which in many applications is sufficient.",

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AU - Flåm, S. D.

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AB - An iterative method, combining bisections and successive approximations, is proposed for computing intervals containing the Gittins indices. The intervals could be of a specified maximum length, or be merely disjoint. The first option gives approximations of the Gittins indices. The second option gives a ranking of indices, which in many applications is sufficient.

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KW - bisection

KW - successive approximation

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JF - ZOR Zeitschrift für Operations Research Methods and Models of Operations Research

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ER -

A bisection/successive approximation method for computing Gittins indices

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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