Branching Bandits and Klimov ' s Problem : Achievable Region and Side Constraints

  title={Branching Bandits and Klimov ' s Problem : Achievable Region and Side Constraints},
  author={Dimitris Bertsimas and Ioannis Ch. Paschialidis and John N. Tsitsiklis},
AbstructWe consider the average cost branching bandits problem and its special case known as Klimov’s problem. We consider the vector n whose components are the mean number of bandits (or customers) of each type that are present. We 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, we also develop an… CONTINUE READING
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