On Optimality of Myopic Policy for Restless Multi-Armed Bandit Problem: An Axiomatic Approach

DOI10.1109/TSP.2011.2170684zbMATH Open1391.62009arXiv1205.5375OpenAlexW1989239951MaRDI QIDQ4573448FDOQ4573448

Publication date: 18 July 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: We consider the channel access problem in a multi-channel opportunistic communication system with imperfect channel sensing, where the state of each channel evolves as a non independent and identically distributed Markov process. This problem can be cast into a restless multi-armed bandit (RMAB) problem that is intractable for its exponential computation complexity. A natural alternative is to consider the easily implementable myopic policy that maximizes the immediate reward but ignores the impact of the current strategy on the future reward. In particular, we develop three axioms characterizing a family of generic and practically important functions termed as

g

-regular functions which includes a wide spectrum of utility functions in engineering. By pursuing a mathematical analysis based on the axioms, we establish a set of closed-form structural conditions for the optimality of myopic policy.

Full work available at URL: https://arxiv.org/abs/1205.5375

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Bayesian problems; characterization of Bayes procedures (62C10)

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