Practical Calculation of Gittins Indices for Multi-armed Bandits

Abstract: Gittins indices provide an optimal solution to the classical multi-armed bandit problem. An obstacle to their use has been the common perception that their computation is very difficult. This paper demonstrates an accessible general methodology for the calculating Gittins indices for the multi-armed bandit with a detailed study on the cases of Bernoulli and Gaussian rewards. With accompanying easy-to-use open source software, this work removes computation as a barrier to using Gittins indices in these commonly found settings.