| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155200 | Statistics & Probability Letters | 2008 | 8 Pages |
Abstract
We discuss the generalization of the classical Gittins Index for a Markov chain and propose a transparent recursive algorithm for its calculation. The foundation for this algorithm is a modified version of the Elimination algorithm proposed earlier by the author to solve the problem of optimal stopping of a Markov chain in discrete time and a finite or countable state space.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Isaac M. Sonin,