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A sampling-based method is introduced to approximate the Gittins index for a general family of alternative bandit processes.
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On the evaluation of suboptimal strategies for families of alternative bandit processes
Kevin D Glazebrook · 1982
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Optimal strategies for families of alternative bandit processes
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Tze Leung Lai, Herbert Robbins, et al · 1985
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Walter R Gilks, Sylvia Richardson, and David Spiegelhalter · 1995
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J S Rosenthal · 1995
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Regret Analysis of the Finite-Horizon Gittins Index Strategy for Multi-Armed Bandits
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