Glazebrook, Kevin and Dunn, R. T. (2004) Discounted multi-armed bandit problems on a collection of machines with varying speeds. Mathematics of Operations Research, 29 (2). pp. 266-279. ISSN 0364-765X
Full text not available from this repository.Abstract
This paper is the first to consider general multiarmed bandit problems on parallel machines working at different speeds. Block allocation policies make a once-for-all allocation of bandits to machines at time zero. In this class we describe how to achieve Blackwell optimality under given conditions. The block allocation policy identified allocates the bandits with the largest guaranteed reward rates to the machines operating at greatest speed. This policy is shown to be average-reward optimal in the class of general (nonanticipative, nonidling) policies.