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

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^NK_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.