Four proofs of Gittins' multiarmed bandit theorem

@article{Frostig2016FourPO,
  title={Four proofs of Gittins' multiarmed bandit theorem},
  author={Esther Frostig and Gideon Weiss},
  journal={Annals OR},
  year={2016},
  volume={241},
  pages={127-165}
}
We study four proofs that the Gittins index priority rule is optimal for alternative bandit processes. These include Gittins’ original exchange argument, Weber’s prevailing charge argument, Whittle’s Lagrangian dual approach, and Bertsimas and Niño-Mora’s proof based on the achievable region approach and generalized conservation laws. We extend the… CONTINUE READING