Gittins Index Closed-form Calculation
Definition Consider a discrete-time Bandit Process with one arm (dropping arm index $i$ for convenience): Markov state transition, binary action, reward associated with positive action (aka ‘pull’) denoted as $r(x(t))$ at each time point $t = 1, \ldots$ The states $x(t)$ doesn’t change if the arm is idle. And the goal is to maximize the discounted reward criteria: $$ \text{Reward}:=\mathbb E[\sum_t \beta^t r(x(t))]. $$ ($x(\cdot)$ or $x$ is state) The Gittins Index $v(x)$ is calculated for each state $x$ as ...