A generalized Gittins index for a Markov chain and its recursive calculation

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.

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Year of publication:	2008
Authors:	Sonin, Isaac M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 12, p. 1526-1533
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313821