Linear Programming for Finite State Multi-Armed Bandit Problems

@article{Chen1986LinearPF,
  title={Linear Programming for Finite State Multi-Armed Bandit Problems},
  author={Yih Ren Chen and Michael N. Katehakis},
  journal={Math. Oper. Res.},
  year={1986},
  volume={11},
  pages={180-183}
}
We consider the multi-armed bandit problem. We show that when the state space is finite the computation of the dynamic allocation indices can be handled by linear programming methods. 

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