NDLI: Branching bandits and Klimov's problem: achievable region and side constraints

Content Provider	IEEE Xplore Digital Library
Author	Bertsimas, D. Paschalidis, I.C. Tsitsiklis, J.N.
Copyright Year	1994
Description	Author affiliation: Lab. for Inf. & Decision Syst., MIT, Cambridge, MA, USA (Bertsimas, D.; Paschalidis, I.C.; Tsitsiklis, J.N.)
Abstract	Considers the average cost branching bandits problem and its special case known as Klimov's problem. The authors consider the vector n whose components are the mean number of bandits (or customers) of each type that are present. The authors characterize fully the achievable region, that is, the set of all possible vectors n that can be obtained by considering all possible policies. While the original description of the achievable region involves exponentially many constraints, the authors also develop an alternative description that involves only O(R/sup 2/) variables and constraints, where R is the number of bandit types (or customer classes). The authors then consider the problem of minimizing a linear function of n subject to L additional linear constraints on n. The authors show that optimal policies can be obtained by randomizing between L+1 strict priority policies that can be found efficiently (in polynomial time) using linear programming techniques.<>
Starting Page	174
Ending Page	179
File Size	719343
Page Count	6
File Format	PDF
ISBN	0780319680
DOI	10.1109/CDC.1994.411026
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1994-12-14
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Laboratories Linear programming Feedback Polynomials Stochastic systems Control systems Stochastic processes Cost function
Content Type	Text
Resource Type	Article

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