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Index policies for a class of discounted restless bandits

Part of: Operations research and management science Stochastic systems and control

Published online by Cambridge University Press:  01 July 2016

K. D. Glazebrook ,
J. Niño-Mora  and
P. S. Ansell
K. D. Glazebrook
Affiliation:
University of Newcastle upon Tyne
J. Niño-Mora*
Affiliation:
Universitat Pompeu Fabra
P. S. Ansell*
Affiliation:
University of Newcastle upon Tyne
*
∗∗ Postal address: Department of Economics and Business, Universitat Pompeu Fabra, E-08005, Barcelona, Spain.
∗∗∗ Postal address: School of Mathematics and Statistics, University of Newcastle upon Tyne, Newcastle upon Tyne NE1 7RU, UK.
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Abstract

The paper concerns a class of discounted restless bandit problems which possess an indexability property. Conservation laws yield an expression for the reward suboptimality of a general policy. These results are utilised to study the closeness to optimality of an index policy for a special class of simple and natural dual speed restless bandits for which indexability is guaranteed. The strong performance of the index policy is confirmed by a computational study.

Keywords

Conservation lawsindexabilityindex policyrestless banditsuboptimality bound

MSC classification

Primary: 90B36: Scheduling theory, stochastic
Secondary: 93E20: Optimal stochastic control
Type
General Applied Probability
Information
Advances in Applied Probability , Volume 34 , Issue 4 , December 2002 , pp. 754 - 774
Copyright
Copyright © Applied Probability Trust 2002 

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Footnotes

∗

Current address: School of Management, University of Edinburgh, William Robertson Building, 50 George Square, Edinburgh EH8 9JY, UK. Email address: [email protected]

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