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Stochastic Search in a Forest Revisited

IEOR Department, Columbia University, New York, New York 10027
EECS Department, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139
jay{at}ieor.columbia.edu, http://www.columbia.edu/js1353
jnt{at}mit.edu, http://web.mit.edu/jnt/www/home.html

We consider a generalization of the model of stochastic search in an out-forest, introduced and studied by E. V. Denardo, U. G. Rothblum, L. Van der Heyden. 2004. Index policies for stochastic search in a forest with an application to R&D project management. Math. Oper. Res. 29(1) 162–181. We provide a simpler proof of the optimality of index-based policies.

Key Words: stochastic search; multiarmed bandit; Gittins index; project management; stochastic scheduling; dynamic programming
History: Received: November 12, 2005; revision received: January 4, 2007;