Error bounds for calculation of the Gittins indices

Wang, Y-G. (1997) Error bounds for calculation of the Gittins indices. Australian Journal of Statistics, 39(2), pp. 225-233.

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For a wide class of semi-Markov decision processes the optimal policies are expressible in terms of the Gittins indices, which have been found useful in sequential clinical trials and pharmaceutical research planning. In general, the indices can be approximated via calibration based on dynamic programming of finite horizon. This paper provides some results on the accuracy of such approximations, and, in particular, gives the error bounds for some well known processes (Bernoulli reward processes, normal reward processes and exponential target processes).

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3 citations in Web of Science®
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ID Code: 90622
Item Type: Journal Article
Refereed: No
Additional Information: ISI Document Delivery No.: XX286 Times Cited: 3 Cited Reference Count: 19 Wang, YG Australian statistical publishing assoc inc Canberra
Keywords: bandit process, clinical trials, dynamic programming, stopping time, multi-armed bandits, dynamic allocation indexes, delayed-responses, clinical-trials
DOI: 10.1111/j.1467-842X.1997.tb00538.x
ISSN: 0004-9581
Divisions: Current > QUT Faculties and Divisions > Science & Engineering Faculty
Copyright Owner: Copyright CSIRO
Deposited On: 24 Nov 2015 04:33
Last Modified: 24 Nov 2015 04:33

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