On the asymptotic optimality of greedy index heuristics for multi-action restless bandits

DOI10.1239/AAP/1444308876MaRDI QIDQ3450503zbMATH OpenOpenAlexFDO

Authors David J. Hodge, Kevin D. Glazebrook

Publication date 6 November 2015

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/71018/1/2014_HGFinal_Cut.pdf

zbMATH Keywords

asymptotic optimalitystochastic resource allocationindex heuristicmulti-action restless bandit

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20) Numerical methods of relaxation type (49M20)

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(10)

• Indexability and optimal index policies for a class of reinitialising restless bandits
• A restless bandit model for resource allocation, competition, and reservation
• Restless Bandits, Linear Programming Relaxations, and a Primal-Dual Index Heuristic
• \(r\)-extreme signalling for congestion control
• An asymptotically optimal heuristic for general nonstationary finite-horizon restless multi-armed, multi-action bandits
• On the Gittins index for multiarmed bandits
• On the Whittle Index for Restless Multiarmed Hidden Markov Bandits
• Conditions for indexability of restless bandits and an algorithm to compute Whittle index
• Asymptotically optimal priority policies for indexable and nonindexable restless bandits
• Exponential asymptotic optimality of Whittle index policy

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