A (2/3)n3 Fast-Pivoting Algorithm for the Gittins Index and Optimal Stopping of a Markov Chain

@article{NioMora2007AF,
  title={A (2/3)n3 Fast-Pivoting Algorithm for the Gittins Index and Optimal Stopping of a Markov Chain},
  author={Jos{\'e} Ni{\~n}o-Mora},
  journal={INFORMS Journal on Computing},
  year={2007},
  volume={19},
  pages={596-606}
}
T paper presents a new fast-pivoting algorithm that computes the n Gittins index values of an n-state bandit—in the discounted and undiscounted cases—by performing 2/3 n3 +O n2 arithmetic operations, thus attaining better complexity than previous algorithms and matching that of solving a corresponding linearequation system by Gaussian elimination. The algorithm further applies to the problem of optimal stopping of a Markov chain, for which a novel Gittins-index solution approach is introduced… CONTINUE READING
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