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A Note on M. N. Katehakis' and Y.-R. Chen's Computation of the Gittins Index

Department of Mathematics and Computer Science, University of Leiden, POB 9512, 2300 RA Leiden, The Netherlands

In a recent paper Katehakis and Chen propose a sequence of linear programs for the computation of the Gittins indices. If there are N projects and project v has K_v states, then _v=1^N K_v linear programs have to be solved. In this note it is shown that instead of the K_v linear programs for project v also one parametric linear program with the same dimensions can be solved.

Key Words: Markov decision processes; multi-armed bandit problems; Gittins index

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